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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A word of caution
The application of modern portfolio theory was very well received by banks, in part because it meets intuition that part of the risk disappears in a diversified portfolio, and also because it often results in a smaller measure of risk. In the negotiation on capital regulation for trading risk mentioned in Stage 6, international banks lobbied very hard, and succeeded in being allowed to incorporate the benefits of diversification in the measure of value-at-risk (VAR), the potential change of value of the trading portfolio.
But common sense reminds us that the end result, the estimation of total risk, is only as good as the quality of data input introduced in the formula. In particular, if correlations change, the measure of ...
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