MARKET RISK ASSESSMENT OF A BANK. METHODS AND MEASUREMENTS
Dumitru Popescu ()
Theoretical and Applied Economics, 2009, vol. 05(534)(supplement), issue 05(534)(supplement), 56-64
The paper aims at substantiating the market risk assessment of a bank's portfolio that is based on three main indicators, which are used to define exposure limits: â€“ the 99%"Value at Risk" (VaR) method, â€“ a stress-test measurement based on a timeframe shock-type indicator â€“ complementary limits(sensitivity, nominal, concentration or holding period, etc)which ensure coherency between the total risk limits and the operational limits used by the front office, that also allow for the control of risks that are only partially detected by VaR or stress test measurements.
Keywords: risk assessment; value at risk; stress-test; and sensitivity analysis. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:05(534)(supplement):y:2009:i:05(534)(supplement):p:56-64
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