March 2002
Intermediate to advanced
176 pages
3h 48m
English
book
Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
by Jean Dermine, Youssef F. Bissada
Content preview from Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
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Current exposure method
Credit risk: replacement cost (‘marking to market’) + potential future credit exposure (add-on). The add-on is measured as follows:
| Residual maturity | Interest rate | Forex + Gold | Equity |
|---|---|---|---|
| Less than one year | Nil | 1% | 6% |
| One year to five years | 0.5% | 5% | 8% |
| Over five years | 1.5% | 7.5% | 10% |
Exercise: Stage Six
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