# Questions tagged [market-risk]

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### FRTB Spearman correlation coefficient definition

I am just writing my thesis and would like to understand the spearman correlation coefficient definition within the FRTB. Somehow it is not clear from the definition. The reason what I don't ...
39 views

### Market vs. Credit Loss distributions: differences

If we define the Loss distribution of a portfolio as $$L_{t+h}=-(V_{t+h}-V_{t})$$ where $V_{t}$ is the value of the portfolio at time $t$ and $h$ is the time horizon, which are the (graphical) ...
56 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?...
64 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 $S = 10$. $S$...
31 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 ...
50 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 ...
93 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 ...
123 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 ...
588 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 ...
138 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 ...
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 ...
205 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 ...
88 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.
100 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}_{...
284 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?