max loss for a portfolio (iterate through the holdings and calculate the max loss per position)
e.g. for an option the max loss would be the premium and for a cds it would be either jump to par or jump to default
This is more for their trading book as opposed to a margin/prim broker type calculation. They want to know max loss per position.
My question about netting is: if I have two holdings in the same stock and I'm short 25 and long 100, the max loss with netting is different from the max loss without netting.
1. what's the max loss for a short stock position? 2. how much netting is done before calculating max loss