Risk Analysis (IS-B-RA)

Rule used in the value-at-risk evaluation that governs how the risk factors of one level in the risk hierarchy are aggregated to the next level of the hierarchy.

SAP Banking contains the following aggregation categories:

• Correlated
• Differentiated
• Absolute addition
• Addition according to the plus/minus sign
• Addition of directly preceding nodes

The aggregation category takes effect in the value-at-risk evaluation only if the variance/covariance approach is used.