Market Risk Measurement and Management

Jiří Witzany

Chapter 5 in Derivatives, 2020, pp 141-222 from Springer

Abstract: Abstract Qualified market risk management of asset and liability portfolios or trading activities is of key importance for banks and financial institutions. It is not only about quantitative measurement of the risks, but also about organizational and regulatory principles. Besides relatively simple market risk measures, we will define and explain various approaches to Value at Risk (VaR) and Conditional VaR estimation and backtesting. The two risk measures are used for day-to-day management as well as key regulatory capital concepts, or as tools of strategic risk management based on economic capital allocation. Market risk management, in particular in case of OTC derivatives, is also closely related to the counterparty credit risk management and measurement in terms of CVA (Credit Valuation Adjustment) that will be in detail discussed in the last section of this chapter.

Date: 2020
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-51751-9_5

Ordering information: This item can be ordered from
http://www.springer.com/9783030517519

DOI: 10.1007/978-3-030-51751-9_5

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().