I am having a hard time researching papers that deal with the measurement of market risk in the banking book. The trading book as I see it is similar to asset management and as the name says the trading desk view and therefore relatively well covered.
But what are useful quant/math/statistical approaches to estimate the VaR in the setting of the banking book?
There are various details that distinguish it from the usual portfolio view:
- we deal with assets and liabilities and usually gap and basis risk
- Often we deal with a one year view and people tend to use overlapping data in order to have a bigger sample size but sacrifying the iid property with all the problems that come with it (discussed here on QSE and on linkedin)
Earnings-based and credit-spread risk measurement are other topics in the context but are less in the scope of my question.
Thus I would really like to gather best practice research and papers here that cover this particular field of quantitative risk measurement.