Value at risk

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Author
McMenamin, Michael
Date
2014
Degree
Certificate in Funding and Treasury
URI
http://hdl.handle.net/10788/2131
Publisher
Dublin Business School
Rights holder
http://esource.dbs.ie/copyright
Rights
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Abstract
Sources of Market-based Risk Market risk is any risk of losses in a bank’s trading book due to changes in equity prices, interest rates, credit spreads, FX rates, commodity prices, and other factors. Refers to open (unhedged) positions, and the more volatile the asset price the greater the market risk. Author keywords: Var model, risk management, riskometrics, DEAR, capital, finance, value at risk
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