Parallel risk: Difference between revisions
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imported>Doug Williamson (Create the page. Sources: linked pages and BIS http://www.bis.org/bcbs/publ/d368.pdf) |
imported>Doug Williamson (Redefined in line with Parallel shock) |
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''Interest rate risk.'' | ''Interest rate risk.'' | ||
Parallel risk is the risk of adverse effects from | Parallel risk is the risk of adverse effects from a change in interest rates, which affects all interest rates by an equal amount. | ||
This risk is relatively simpler to analyse, compared with non-parallel risk. | This risk is relatively simpler to analyse, compared with non-parallel risk. | ||
Revision as of 09:27, 31 August 2016
Interest rate risk.
Parallel risk is the risk of adverse effects from a change in interest rates, which affects all interest rates by an equal amount.
This risk is relatively simpler to analyse, compared with non-parallel risk.
