Value at risk
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Certificate in Funding and Treasury
Dublin Business School
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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