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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The aggregation of risks
As banks face multiple sources of risk, for example interest rate risks related to movement in the dollar interest rate, the euro interest rate, the pound sterling interest rate . . ., one looks for a measure of total aggregated risk. Although one could take the sum of each individual risk (the potential loss if an interest rate goes in the wrong direction), many banks incorporate the benefits of diversification in their measure of total, aggregated risk.
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