Value at risk
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Authors
McMenamin, Michael
Issue Date
2014
Degree
Certificate in Funding and Treasury
Publisher
Dublin Business School
Rights holder
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