Questions tagged [market-risk]

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46 views

How to calculate value at risk in accordance with Basel?

I would greatly appreciate if you could let me know whether Value at Risk should be calculated for net open position (foreign currency assets-foreign currency liabilities) or for foreign currency cash?...
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0answers
40 views

Approximation of portfolio VaR (after mapping) when Delta and Gamma both equal zero

As titled, I am having trouble estimating the VaR of a portfolio mapped as a function of a single risk factor $S$, in the form : $$V(S) = S^3 - 30S^2 + 300S + 150$$ with current value $S = 10$. $S$...
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0answers
24 views

How to measure specific risk charge?

IFRS requires banks to compute different risks including market risk based on Basel iii. To do so, the capital requirement is defined as follows: $$max(VaR_{t−1},m_c × VaR_{avg}) + SRC$$ $SRC$ is ...
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0answers
33 views

FRTB SBA Delta calculation for GIIR

In FRTB Sensitivity based approach delta calcualtion forg GIIR we have the defined vertices 3M, 6M 1Y, 2Y,5Y,10Y,15Y,20Y,30Y. Say for USD bucket we have risk factors as USD-OIS and USD-3M curve, when ...
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0answers
55 views

Modelling approaches for interest rate risk in the banking book (IRRBB)

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 ...
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0answers
108 views

Explanation and Application of Quantile Regression of Value-At-Risk

Self-learner here. Please, excuse me if I am asking a Question already answered, but the explanations that I find online, just seem to be a bit hard for me. I am currently trying to apply the Basel ...
1
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1answer
551 views

Expected Shortfall Basel III style: what is the idea?

I would like to do a qualitative question about the Expected shortfall in the Basel 3 document. First of all let me introduce few definitions. Suppose to have a portfolio $P$ depending on a family ...
1
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1answer
117 views

Integrating Credit and Market VaR

For a portfolio of fixed income, is there a framework or model for providing a VaR-type estimate that takes into account not only market risk factors, but also the loss associated with the probability ...
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0answers
191 views

Liquidity horizons of risk factors categories

I'm reading the consultative document of the BCBS on the Fundamental Review of the Trading Book: http://www.bis.org/publ/bcbs265.pdf Table 2 on page 16 shows the liquidity horizons for 5 broad risk ...
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3answers
87 views

What information should be delivered to the client so they have enough information to manage their exchange rate risks? [closed]

The client can be a CFO or CEO. The information can indicators, charts, graphs, statistics, ratios, etc. I know the VaR is one of them.
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1answer
98 views

Expected Shortfall alternative formulation

Define: $$q_\alpha(F_L)=F^{\leftarrow}(\alpha)=\inf\lbrace{x\in \mathbb{R}\mid F_L(x)\geq \alpha\rbrace}=VaR_\alpha(L)$$ I want to prove that: $$ES_\alpha = \frac{1}{1-\alpha}\mathbb{E}[\mathbb{1}_{...
2
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3answers
260 views

Books on Market Risk for practice problems

Are there any books with practice problems for Market Risk, with special emphasis on vanilla and exotic options? Or should I look into old exam papers from FRM as sold by Kaplan/GARP?
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0answers
225 views

Risk measures, Risk Management and Financial Risk Area

I'm currently searching material about market risk and I learned about coherent risk measures, VaR, CVaR (or expected shortfall), volatility. All that because I have to make a Financial Risk Area for ...
2
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2answers
278 views

Liquidity in a market risk model based on historical simulation

I would like to model liquidity effects in my risk model which is based on historical simulation. I would like to develop a practical solution that still captures liquidity effects. Most probably I ...
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2answers
4k views

What makes IRC a market risk?

Since modeling leaves complete freedom we can assume both market and credit risks can enter the picture. However the minimum requirement is (migrations and) defaults simulation, how does this ...