Market Risk Modeling Framework Under Basel

Han Zhang
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Han Zhang: Wells Fargo & Co.

A chapter in Commercial Banking Risk Management, 2017, pp 35-52 from Palgrave Macmillan

Abstract: Abstract Since the financial crisis of 2007–2008, market risk management has become more important than ever. Many advanced risk measures and capital charge for market risk are proposed in a comprehensive capital framework. This chapter focuses on the market risk modeling framework under Basel. The chapter starts with Basel II to set the major framework of market risk management. Then, its revision in Basel 2.5 is illustrated. Two widely used market risk measures and their pros and cons are explained. Finally, the latest revised minimum capital requirement for market risk published in January 2016 is briefly documented.

Keywords: Risk Measure; Credit Trade; Default Risk; Market Risk; Trading Book (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-59442-6_2

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DOI: 10.1057/978-1-137-59442-6_2

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