المدربA risk hierarchy is the tree along which positions and their risk are aggregated: trades into books, books into desks, desks into business lines and the firm. A risk limit is a ceiling on a risk measure (VaR, a sensitivity, a stress loss) at a node of the hierarchy, whose breach triggers escalation.
أمثلة
Example 29.6 (Ten-day risk by node)
With full revaluation, the firm’s ten-day 99% VaR is USD 53.53 million and its 97.5% ES 50.89 million. The FX business’s own ES is 14.63 million, but its Euler contribution to the firm’s is only 3.56 million, against 47.34 million for rates: the firm’s tail is a rates tail. The short-dated FX desk’s VaR, 14.58 million, breaches its limit of 12 million, and the engine flags it.