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Quantitative Finance · Glossário

O que é Exposure aggregation?

Definition 18.2 Research, Data and Risk Platforms · Capítulo 18 — Real-Time Risk

Exposure aggregation adds trade-level exposures — here delta-dollars in the index — up the risk hierarchy (trade, book, desk, firm) so that every node carries the sum of its descendants and can be compared with its own limit.

The chapter’s risk hierarchy at the close, with each node’s limit and delta. Every node is inside its limit except the one no desk’s system computes.
Figure 18.1. The chapter’s risk hierarchy at the close, with each node’s limit and delta. Every node is inside its limit except the one no desk’s system computes.
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