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href="#Measuring_the_potential_loss_amount_due_to_market_risk"> <div class="vector-toc-text"> <span class="vector-toc-numb">2</span> <span>Measuring the potential loss amount due to market risk</span> </div> </a> <ul id="toc-Measuring_the_potential_loss_amount_due_to_market_risk-sublist" class="vector-toc-list"> </ul> </li> <li id="toc-Regulatory_views" class="vector-toc-list-item vector-toc-level-1 vector-toc-list-item-expanded"> <a class="vector-toc-link" href="#Regulatory_views"> <div class="vector-toc-text"> <span class="vector-toc-numb">3</span> <span>Regulatory views</span> </div> </a> <ul id="toc-Regulatory_views-sublist" class="vector-toc-list"> </ul> </li> <li id="toc-Use_in_annual_reports_of_U.S._corporations" class="vector-toc-list-item vector-toc-level-1 vector-toc-list-item-expanded"> <a class="vector-toc-link" href="#Use_in_annual_reports_of_U.S._corporations"> <div class="vector-toc-text"> <span class="vector-toc-numb">4</span> <span>Use in annual reports of U.S. corporations</span> </div> </a> <ul id="toc-Use_in_annual_reports_of_U.S._corporations-sublist" class="vector-toc-list"> </ul> </li> <li id="toc-Market_risk_for_physical_investments" class="vector-toc-list-item vector-toc-level-1 vector-toc-list-item-expanded"> <a class="vector-toc-link" href="#Market_risk_for_physical_investments"> <div class="vector-toc-text"> <span class="vector-toc-numb">5</span> <span>Market risk for physical investments</span> </div> </a> <ul id="toc-Market_risk_for_physical_investments-sublist" class="vector-toc-list"> </ul> </li> <li id="toc-See_also" class="vector-toc-list-item vector-toc-level-1 vector-toc-list-item-expanded"> <a class="vector-toc-link" href="#See_also"> <div class="vector-toc-text"> <span class="vector-toc-numb">6</span> <span>See also</span> </div> </a> <ul id="toc-See_also-sublist" class="vector-toc-list"> </ul> </li> <li id="toc-References" class="vector-toc-list-item vector-toc-level-1 vector-toc-list-item-expanded"> <a class="vector-toc-link" href="#References"> <div class="vector-toc-text"> <span class="vector-toc-numb">7</span> <span>References</span> </div> </a> <ul id="toc-References-sublist" class="vector-toc-list"> </ul> </li> <li id="toc-External_links" class="vector-toc-list-item vector-toc-level-1 vector-toc-list-item-expanded"> <a class="vector-toc-link" href="#External_links"> <div class="vector-toc-text"> <span class="vector-toc-numb">8</span> <span>External links</span> </div> </a> <ul id="toc-External_links-sublist" class="vector-toc-list"> </ul> </li> </ul> </div> </div> </nav> </div> </div> <div class="mw-content-container"> <main id="content" class="mw-body"> <header class="mw-body-header vector-page-titlebar"> <nav aria-label="Contents" class="vector-toc-landmark"> <div id="vector-page-titlebar-toc" class="vector-dropdown vector-page-titlebar-toc vector-button-flush-left" > <input type="checkbox" id="vector-page-titlebar-toc-checkbox" role="button" aria-haspopup="true" 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Available in 23 languages" > <label id="p-lang-btn-label" for="p-lang-btn-checkbox" class="vector-dropdown-label cdx-button cdx-button--fake-button cdx-button--fake-button--enabled cdx-button--weight-quiet cdx-button--action-progressive mw-portlet-lang-heading-23" aria-hidden="true" ><span class="vector-icon mw-ui-icon-language-progressive mw-ui-icon-wikimedia-language-progressive"></span> <span class="vector-dropdown-label-text">23 languages</span> </label> <div class="vector-dropdown-content"> <div class="vector-menu-content"> <ul class="vector-menu-content-list"> <li class="interlanguage-link interwiki-af mw-list-item"><a href="https://af.wikipedia.org/wiki/Markrisiko" title="Markrisiko – Afrikaans" lang="af" hreflang="af" data-title="Markrisiko" data-language-autonym="Afrikaans" data-language-local-name="Afrikaans" class="interlanguage-link-target"><span>Afrikaans</span></a></li><li class="interlanguage-link interwiki-ar mw-list-item"><a href="https://ar.wikipedia.org/wiki/%D9%85%D8%AE%D8%A7%D8%B7%D8%B1_%D8%A7%D9%84%D8%B3%D9%88%D9%82" title="مخاطر السوق – Arabic" lang="ar" hreflang="ar" data-title="مخاطر السوق" data-language-autonym="العربية" data-language-local-name="Arabic" class="interlanguage-link-target"><span>العربية</span></a></li><li class="interlanguage-link interwiki-az mw-list-item"><a href="https://az.wikipedia.org/wiki/Bazar_riski" title="Bazar riski – Azerbaijani" lang="az" hreflang="az" data-title="Bazar riski" data-language-autonym="Azərbaycanca" data-language-local-name="Azerbaijani" class="interlanguage-link-target"><span>Azərbaycanca</span></a></li><li class="interlanguage-link interwiki-bg mw-list-item"><a href="https://bg.wikipedia.org/wiki/%D0%9F%D0%B0%D0%B7%D0%B0%D1%80%D0%B5%D0%BD_%D1%80%D0%B8%D1%81%D0%BA" title="Пазарен риск – Bulgarian" lang="bg" hreflang="bg" data-title="Пазарен риск" data-language-autonym="Български" data-language-local-name="Bulgarian" class="interlanguage-link-target"><span>Български</span></a></li><li class="interlanguage-link interwiki-da mw-list-item"><a href="https://da.wikipedia.org/wiki/Markedsrisiko" title="Markedsrisiko – Danish" lang="da" hreflang="da" data-title="Markedsrisiko" data-language-autonym="Dansk" data-language-local-name="Danish" class="interlanguage-link-target"><span>Dansk</span></a></li><li class="interlanguage-link interwiki-de mw-list-item"><a href="https://de.wikipedia.org/wiki/Marktrisiko" title="Marktrisiko – German" lang="de" hreflang="de" data-title="Marktrisiko" data-language-autonym="Deutsch" data-language-local-name="German" class="interlanguage-link-target"><span>Deutsch</span></a></li><li class="interlanguage-link interwiki-el mw-list-item"><a href="https://el.wikipedia.org/wiki/%CE%9A%CE%AF%CE%BD%CE%B4%CF%85%CE%BD%CE%BF%CF%82_%CE%B1%CE%B3%CE%BF%CF%81%CE%AC%CF%82" title="Κίνδυνος αγοράς – Greek" lang="el" hreflang="el" data-title="Κίνδυνος αγοράς" data-language-autonym="Ελληνικά" data-language-local-name="Greek" class="interlanguage-link-target"><span>Ελληνικά</span></a></li><li class="interlanguage-link interwiki-es mw-list-item"><a href="https://es.wikipedia.org/wiki/Riesgo_de_mercado" title="Riesgo de mercado – Spanish" lang="es" hreflang="es" data-title="Riesgo de mercado" data-language-autonym="Español" data-language-local-name="Spanish" class="interlanguage-link-target"><span>Español</span></a></li><li class="interlanguage-link interwiki-fa mw-list-item"><a href="https://fa.wikipedia.org/wiki/%D8%B1%DB%8C%D8%B3%DA%A9_%D8%A8%D8%A7%D8%B2%D8%A7%D8%B1" title="ریسک بازار – Persian" lang="fa" hreflang="fa" data-title="ریسک بازار" data-language-autonym="فارسی" data-language-local-name="Persian" class="interlanguage-link-target"><span>فارسی</span></a></li><li class="interlanguage-link interwiki-fr mw-list-item"><a href="https://fr.wikipedia.org/wiki/Risque_de_march%C3%A9" title="Risque de marché – French" lang="fr" hreflang="fr" data-title="Risque de marché" data-language-autonym="Français" data-language-local-name="French" class="interlanguage-link-target"><span>Français</span></a></li><li class="interlanguage-link interwiki-ko mw-list-item"><a href="https://ko.wikipedia.org/wiki/%EC%8B%9C%EC%9E%A5%EC%9C%84%ED%97%98" title="시장위험 – Korean" lang="ko" hreflang="ko" data-title="시장위험" data-language-autonym="한국어" data-language-local-name="Korean" class="interlanguage-link-target"><span>한국어</span></a></li><li class="interlanguage-link interwiki-id mw-list-item"><a href="https://id.wikipedia.org/wiki/Risiko_pasar" title="Risiko pasar – Indonesian" lang="id" hreflang="id" data-title="Risiko pasar" data-language-autonym="Bahasa Indonesia" data-language-local-name="Indonesian" class="interlanguage-link-target"><span>Bahasa Indonesia</span></a></li><li class="interlanguage-link interwiki-it mw-list-item"><a href="https://it.wikipedia.org/wiki/Rischio_di_mercato" title="Rischio di mercato – Italian" lang="it" hreflang="it" data-title="Rischio di mercato" data-language-autonym="Italiano" data-language-local-name="Italian" class="interlanguage-link-target"><span>Italiano</span></a></li><li class="interlanguage-link interwiki-he mw-list-item"><a href="https://he.wikipedia.org/wiki/%D7%A1%D7%99%D7%9B%D7%95%D7%9F_%D7%A9%D7%95%D7%A7" title="סיכון שוק – Hebrew" lang="he" hreflang="he" data-title="סיכון שוק" data-language-autonym="עברית" data-language-local-name="Hebrew" class="interlanguage-link-target"><span>עברית</span></a></li><li class="interlanguage-link interwiki-lt mw-list-item"><a href="https://lt.wikipedia.org/wiki/Rinkos_rizika" title="Rinkos rizika – Lithuanian" lang="lt" hreflang="lt" data-title="Rinkos rizika" data-language-autonym="Lietuvių" data-language-local-name="Lithuanian" class="interlanguage-link-target"><span>Lietuvių</span></a></li><li class="interlanguage-link interwiki-mk mw-list-item"><a href="https://mk.wikipedia.org/wiki/%D0%9F%D0%B0%D0%B7%D0%B0%D1%80%D0%B5%D0%BD_%D1%80%D0%B8%D0%B7%D0%B8%D0%BA" title="Пазарен ризик – Macedonian" lang="mk" hreflang="mk" data-title="Пазарен ризик" data-language-autonym="Македонски" data-language-local-name="Macedonian" class="interlanguage-link-target"><span>Македонски</span></a></li><li class="interlanguage-link interwiki-ja mw-list-item"><a href="https://ja.wikipedia.org/wiki/%E5%B8%82%E5%A0%B4%E3%83%AA%E3%82%B9%E3%82%AF" title="市場リスク – Japanese" lang="ja" hreflang="ja" data-title="市場リスク" data-language-autonym="日本語" data-language-local-name="Japanese" class="interlanguage-link-target"><span>日本語</span></a></li><li class="interlanguage-link interwiki-nn mw-list-item"><a href="https://nn.wikipedia.org/wiki/Marknadsrisiko" title="Marknadsrisiko – Norwegian Nynorsk" lang="nn" hreflang="nn" data-title="Marknadsrisiko" data-language-autonym="Norsk nynorsk" data-language-local-name="Norwegian Nynorsk" class="interlanguage-link-target"><span>Norsk nynorsk</span></a></li><li class="interlanguage-link interwiki-pl mw-list-item"><a href="https://pl.wikipedia.org/wiki/Ryzyko_rynkowe" title="Ryzyko rynkowe – Polish" lang="pl" hreflang="pl" data-title="Ryzyko rynkowe" data-language-autonym="Polski" data-language-local-name="Polish" class="interlanguage-link-target"><span>Polski</span></a></li><li class="interlanguage-link interwiki-pt mw-list-item"><a href="https://pt.wikipedia.org/wiki/Risco_de_mercado" title="Risco de mercado – Portuguese" lang="pt" hreflang="pt" data-title="Risco de mercado" data-language-autonym="Português" data-language-local-name="Portuguese" class="interlanguage-link-target"><span>Português</span></a></li><li class="interlanguage-link interwiki-ru mw-list-item"><a href="https://ru.wikipedia.org/wiki/%D0%A0%D1%8B%D0%BD%D0%BE%D1%87%D0%BD%D1%8B%D0%B9_%D1%80%D0%B8%D1%81%D0%BA" title="Рыночный риск – Russian" lang="ru" hreflang="ru" data-title="Рыночный риск" data-language-autonym="Русский" data-language-local-name="Russian" class="interlanguage-link-target"><span>Русский</span></a></li><li class="interlanguage-link interwiki-sv mw-list-item"><a href="https://sv.wikipedia.org/wiki/Marknadsrisk" title="Marknadsrisk – Swedish" lang="sv" hreflang="sv" data-title="Marknadsrisk" data-language-autonym="Svenska" data-language-local-name="Swedish" class="interlanguage-link-target"><span>Svenska</span></a></li><li class="interlanguage-link interwiki-zh mw-list-item"><a href="https://zh.wikipedia.org/wiki/%E5%B8%82%E5%A0%B4%E9%A2%A8%E9%9A%AA" title="市場風險 – Chinese" lang="zh" hreflang="zh" data-title="市場風險" data-language-autonym="中文" data-language-local-name="Chinese" class="interlanguage-link-target"><span>中文</span></a></li> </ul> <div class="after-portlet after-portlet-lang"><span class="wb-langlinks-edit wb-langlinks-link"><a href="https://www.wikidata.org/wiki/Special:EntityPage/Q1164550#sitelinks-wikipedia" title="Edit interlanguage links" class="wbc-editpage">Edit links</a></span></div> </div> </div> </div> </header> <div class="vector-page-toolbar"> <div 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.sidebar-title-with-pretitle{background:transparent!important}html.skin-theme-clientpref-night .mw-parser-output .sidebar:not(.notheme) .sidebar-title-with-pretitle a{color:var(--color-progressive)!important}}@media screen and (prefers-color-scheme:dark){html.skin-theme-clientpref-os .mw-parser-output .sidebar:not(.notheme) .sidebar-list-title,html.skin-theme-clientpref-os .mw-parser-output .sidebar:not(.notheme) .sidebar-title-with-pretitle{background:transparent!important}html.skin-theme-clientpref-os .mw-parser-output .sidebar:not(.notheme) .sidebar-title-with-pretitle a{color:var(--color-progressive)!important}}@media print{body.ns-0 .mw-parser-output .sidebar{display:none!important}}</style><table class="sidebar nomobile nowraplinks" style="border:1px solid #B2BEB5"><tbody><tr><td class="sidebar-pretitle" style="background:#ACE1AF">Categories of</td></tr><tr><th class="sidebar-title-with-pretitle" style="background:#ACE1AF;font-size:200%;font-weight:normal;padding-bottom:0.15em;"><a href="/wiki/Financial_risk" title="Financial risk">Financial risk</a></th></tr><tr><td class="sidebar-image"><span typeof="mw:File"><a href="/wiki/File:Solidus-Constantius_Gallus-thessalonica_RIC_149.jpg" class="mw-file-description"><img src="//upload.wikimedia.org/wikipedia/commons/thumb/6/61/Solidus-Constantius_Gallus-thessalonica_RIC_149.jpg/100px-Solidus-Constantius_Gallus-thessalonica_RIC_149.jpg" decoding="async" width="100" height="49" class="mw-file-element" srcset="//upload.wikimedia.org/wikipedia/commons/thumb/6/61/Solidus-Constantius_Gallus-thessalonica_RIC_149.jpg/150px-Solidus-Constantius_Gallus-thessalonica_RIC_149.jpg 1.5x, //upload.wikimedia.org/wikipedia/commons/thumb/6/61/Solidus-Constantius_Gallus-thessalonica_RIC_149.jpg/200px-Solidus-Constantius_Gallus-thessalonica_RIC_149.jpg 2x" data-file-width="500" data-file-height="244" /></a></span></td></tr><tr><th class="sidebar-heading" style="background:#ACE1AF"> <a href="/wiki/Credit_risk" title="Credit risk">Credit risk</a></th></tr><tr><td class="sidebar-content plainlist"> <ul><li><a href="/wiki/Settlement_risk" title="Settlement risk">Settlement risk</a></li> <li><a href="/wiki/Concentration_risk" title="Concentration risk">Concentration risk</a></li> <li><a href="/wiki/Sovereign_credit_risk" title="Sovereign credit risk">Sovereign risk</a></li> <li><a href="/wiki/Default_(finance)" title="Default (finance)">Default risk</a></li></ul></td> </tr><tr><th class="sidebar-heading" style="background:#ACE1AF"> <a class="mw-selflink selflink">Market risk</a></th></tr><tr><td class="sidebar-content plainlist"> <ul><li><a href="/wiki/Interest_rate_risk" title="Interest rate risk">Interest rate risk</a></li> <li><a href="/wiki/Inflation_risk" class="mw-redirect" title="Inflation risk">Inflation risk</a></li> <li><a href="/wiki/Currency_risk" class="mw-redirect" title="Currency risk">Currency risk</a></li> <li><a href="/wiki/Equity_risk" title="Equity risk">Equity risk</a></li> <li><a href="/wiki/Commodity_risk" title="Commodity risk">Commodity risk</a></li> <li><a href="/wiki/Volatility_risk" title="Volatility risk">Volatility risk</a></li> <li><a href="/wiki/Systemic_risk" title="Systemic risk">Systemic risk</a></li></ul></td> </tr><tr><th class="sidebar-heading" style="background:#ACE1AF"> <a href="/wiki/Liquidity_risk" title="Liquidity risk">Liquidity risk</a></th></tr><tr><td class="sidebar-content plainlist"> <ul><li><a href="/wiki/Refinancing_risk" title="Refinancing risk">Refinancing risk</a></li> <li><a href="/wiki/Deposit_risk" title="Deposit risk">Deposit risk</a></li> <li><a href="/wiki/Margining_risk" title="Margining risk">Margining risk</a></li></ul></td> </tr><tr><th class="sidebar-heading" style="background:#ACE1AF"> <a href="/wiki/Investment_risk" class="mw-redirect" title="Investment risk">Investment risk</a></th></tr><tr><td class="sidebar-content plainlist"> <ul><li><a href="/wiki/Model_risk" title="Model risk">Model risk</a></li> <li><a href="/wiki/Execution_risk" class="mw-redirect" title="Execution risk">Execution risk</a></li> <li><a href="/wiki/Valuation_risk" title="Valuation risk">Valuation risk</a></li></ul></td> </tr><tr><th class="sidebar-heading" style="background:#ACE1AF"> <a href="/wiki/Business_risk" class="mw-redirect" title="Business risk">Business risk</a></th></tr><tr><td class="sidebar-content plainlist"> <ul><li><a href="/wiki/Reputational_risk" class="mw-redirect" title="Reputational risk">Reputational risk</a></li> <li><a href="/wiki/Operational_risk" title="Operational risk">Operational risk</a></li> <li><a href="/wiki/Country_risk" title="Country risk">Country risk</a></li> <li><a href="/wiki/Political_risk" title="Political risk">Political risk</a></li> <li><a href="/wiki/Legal_risk" title="Legal risk">Legal risk</a></li> <li><a href="/wiki/Moral_hazard" title="Moral hazard">Moral hazard</a></li></ul></td> </tr><tr><th class="sidebar-heading" style="background:#ACE1AF"> <a href="/wiki/Profit_risk" title="Profit risk">Profit risk</a></th></tr><tr><th class="sidebar-heading" style="background:#ACE1AF"> <a href="/wiki/Non-financial_risk" title="Non-financial risk">Non-financial risk</a></th></tr><tr><td class="sidebar-content plainlist"> <ul><li><a href="/wiki/Stranded_asset" title="Stranded asset">Stranded asset</a></li></ul></td> </tr><tr><td class="sidebar-navbar"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1129693374"><style data-mw-deduplicate="TemplateStyles:r1239400231">.mw-parser-output .navbar{display:inline;font-size:88%;font-weight:normal}.mw-parser-output .navbar-collapse{float:left;text-align:left}.mw-parser-output .navbar-boxtext{word-spacing:0}.mw-parser-output .navbar ul{display:inline-block;white-space:nowrap;line-height:inherit}.mw-parser-output .navbar-brackets::before{margin-right:-0.125em;content:"[ "}.mw-parser-output .navbar-brackets::after{margin-left:-0.125em;content:" ]"}.mw-parser-output .navbar li{word-spacing:-0.125em}.mw-parser-output .navbar a>span,.mw-parser-output .navbar a>abbr{text-decoration:inherit}.mw-parser-output .navbar-mini abbr{font-variant:small-caps;border-bottom:none;text-decoration:none;cursor:inherit}.mw-parser-output .navbar-ct-full{font-size:114%;margin:0 7em}.mw-parser-output .navbar-ct-mini{font-size:114%;margin:0 4em}html.skin-theme-clientpref-night .mw-parser-output .navbar li a abbr{color:var(--color-base)!important}@media(prefers-color-scheme:dark){html.skin-theme-clientpref-os .mw-parser-output .navbar li a abbr{color:var(--color-base)!important}}@media print{.mw-parser-output .navbar{display:none!important}}</style><div class="navbar plainlinks hlist navbar-mini"><ul><li class="nv-view"><a href="/wiki/Template:Financial_risk_types" title="Template:Financial risk types"><abbr title="View this template">v</abbr></a></li><li class="nv-talk"><a href="/wiki/Template_talk:Financial_risk_types" title="Template talk:Financial risk types"><abbr title="Discuss this template">t</abbr></a></li><li class="nv-edit"><a href="/wiki/Special:EditPage/Template:Financial_risk_types" title="Special:EditPage/Template:Financial risk types"><abbr title="Edit this template">e</abbr></a></li></ul></div></td></tr></tbody></table> <link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1129693374"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1246091330"><table class="sidebar nomobile nowraplinks hlist"><tbody><tr><th class="sidebar-title" style="background: silver">Basel Framework <br /><small>International regulatory standards for banks</small></th></tr><tr><td class="sidebar-content"> <ul><li><a href="/wiki/Basel_Committee_on_Banking_Supervision" title="Basel Committee on Banking Supervision">Basel Committee on Banking Supervision</a></li> <li><a href="/wiki/Basel_Accords" title="Basel Accords">Basel Accords</a> <ul><li><a href="/wiki/Basel_I" title="Basel I">Basel I</a></li> <li><a href="/wiki/Basel_II" title="Basel II">Basel II</a></li> <li><a href="/wiki/Basel_III" title="Basel III">Basel III</a> <ul><li><a href="/wiki/Liquidity_coverage_ratio" class="mw-redirect" title="Liquidity coverage ratio">LCR</a></li> <li><a href="/wiki/Net_stable_funding_ratio" title="Net stable funding ratio">NSFR</a></li> <li><a href="/wiki/Fundamental_Review_of_the_Trading_Book" title="Fundamental Review of the Trading Book">FRTB</a></li> <li><a href="/wiki/Basel_III:_Finalising_post-crisis_reforms" title="Basel III: Finalising post-crisis reforms">Endgame</a></li></ul></li></ul></li></ul></td> </tr><tr><th class="sidebar-heading" style="font-weight: normal; background: silver; padding-bottom: 0.3em;"> Background</th></tr><tr><td class="sidebar-content"> <ul><li><a href="/wiki/Banking" class="mw-redirect" title="Banking">Banking</a> / <a href="/wiki/Bank_regulation" class="mw-redirect" title="Bank regulation">Regulation</a></li> <li><a href="/wiki/Monetary_policy" title="Monetary policy">Monetary policy</a> / <a href="/wiki/Central_bank" title="Central bank">Central bank</a></li> <li><a href="/wiki/Risk" title="Risk">Risk</a> / <a href="/wiki/Risk_management" title="Risk management">Risk management</a></li></ul></td> </tr><tr><th class="sidebar-heading" style="font-weight: normal; background: silver; padding-bottom: 0.3em;"> Pillar 1: Regulatory capital</th></tr><tr><td class="sidebar-content"> <ul><li><a href="/wiki/Capital_requirement" title="Capital requirement">Capital requirement</a> <ul><li><a href="/wiki/Capital_adequacy_ratio" title="Capital adequacy ratio">Capital ratio</a></li> <li><a href="/wiki/Basel_III#Leverage_ratio" title="Basel III">Leverage ratio</a></li> <li><a href="/wiki/Tier_1_capital" title="Tier 1 capital">Tier 1</a></li> <li><a href="/wiki/Tier_2_capital" title="Tier 2 capital">Tier 2</a></li></ul></li> <li><a href="/wiki/Credit_risk" title="Credit risk">Credit risk</a> <ul><li><a href="/wiki/Standardized_approach_(credit_risk)" title="Standardized approach (credit risk)">SA-CR</a></li> <li><a href="/wiki/Internal_ratings-based_approach_(credit_risk)" title="Internal ratings-based approach (credit risk)">IRB</a> <ul><li><a href="/wiki/Foundation_IRB" title="Foundation IRB">F-IRB</a></li> <li><a href="/wiki/Advanced_IRB" title="Advanced IRB">A-IRB</a></li></ul></li> <li><a href="/wiki/Exposure_at_default" title="Exposure at default">EAD</a> <ul><li><a href="/wiki/Standardized_approach_(counterparty_credit_risk)" title="Standardized approach (counterparty credit risk)">SA-CCR</a></li> <li>IMM</li></ul></li> <li><a href="/wiki/Credit_conversion_factor" title="Credit conversion factor">CCF</a></li></ul></li> <li><a class="mw-selflink selflink">Market risk</a> <ul><li><a href="/wiki/Standardized_approach_(market_risk)" class="mw-redirect" title="Standardized approach (market risk)">Standardized</a></li> <li><a href="/wiki/Internal_models_approach_(market_risk)" class="mw-redirect" title="Internal models approach (market risk)">IMA</a></li></ul></li> <li><a href="/wiki/Credit_valuation_adjustment" title="Credit valuation adjustment">CVA vol</a> <ul><li><a href="/wiki/XVA#Accounting_impact" title="XVA">BA-CVA</a></li> <li><a href="/wiki/XVA#Accounting_impact" title="XVA">SA-CVA</a></li></ul></li> <li><a href="/wiki/Operational_risk" title="Operational risk">Operational risk</a> <ul><li><a href="/wiki/Basic_indicator_approach" title="Basic indicator approach">Basic</a></li> <li><a href="/wiki/Standardized_approach_(operational_risk)" title="Standardized approach (operational risk)">Standardized</a></li> <li><a href="/wiki/Advanced_measurement_approach" title="Advanced measurement approach">AMA</a></li></ul></li></ul></td> </tr><tr><th class="sidebar-heading" style="font-weight: normal; background: silver; padding-bottom: 0.3em;"> Pillar 2: Supervisory review</th></tr><tr><td class="sidebar-content"> <ul><li><a href="/wiki/Economic_capital" title="Economic capital">Economic capital</a></li> <li><a href="/wiki/Liquidity_risk" title="Liquidity risk">Liquidity risk</a></li> <li><a href="/wiki/Legal_risk" title="Legal risk">Legal risk</a></li></ul></td> </tr><tr><th class="sidebar-heading" style="font-weight: normal; background: silver; padding-bottom: 0.3em;"> Pillar 3: Market disclosure</th></tr><tr><td class="sidebar-content"> <ul><li><a href="/wiki/Corporation#Financial_disclosure" title="Corporation">Disclosure</a></li></ul></td> </tr><tr><td class="sidebar-below" style="font-weight: normal; background: silver"> <a href="/wiki/Portal:Business_and_economics" class="mw-redirect" title="Portal:Business and economics">Business and Economics Portal</a></td></tr><tr><td class="sidebar-navbar"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1129693374"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1239400231"><div class="navbar plainlinks hlist navbar-mini"><ul><li class="nv-view"><a href="/wiki/Template:Basel_Framework" title="Template:Basel Framework"><abbr title="View this template">v</abbr></a></li><li class="nv-talk"><a href="/wiki/Template_talk:Basel_Framework" title="Template talk:Basel Framework"><abbr title="Discuss this template">t</abbr></a></li><li class="nv-edit"><a href="/wiki/Special:EditPage/Template:Basel_Framework" title="Special:EditPage/Template:Basel Framework"><abbr title="Edit this template">e</abbr></a></li></ul></div></td></tr></tbody></table> <p><b>Market risk</b> is the <a href="/wiki/Risk" title="Risk">risk</a> of losses in positions arising from movements in market variables like prices and <a href="/wiki/Volatility_(finance)" title="Volatility (finance)">volatility</a>.<sup id="cite_ref-1" class="reference"><a href="#cite_note-1"><span class="cite-bracket">[</span>1<span class="cite-bracket">]</span></a></sup> There is no unique classification as each classification may refer to different aspects of market risk. Nevertheless, the most commonly used types of market risk are: </p> <ul><li><i><a href="/wiki/Equity_risk" title="Equity risk">Equity risk</a></i>, the risk that <a href="/wiki/Share_capital" title="Share capital">stock</a> or <a href="/wiki/Stock_indexes" class="mw-redirect" title="Stock indexes">stock indices</a> (e.g. <a href="/wiki/Euro_Stoxx_50" class="mw-redirect" title="Euro Stoxx 50">Euro Stoxx 50</a>, etc.) prices or their <a href="/wiki/Implied_volatility" title="Implied volatility">implied volatility</a> will change.</li> <li><i><a href="/wiki/Interest_rate_risk" title="Interest rate risk">Interest rate risk</a></i>, the risk that <a href="/wiki/Interest_rate" title="Interest rate">interest rates</a> (e.g. <a href="/wiki/Libor" title="Libor">Libor</a>, <a href="/wiki/Euribor" title="Euribor">Euribor</a>, etc.) or their implied volatility will change.</li> <li><i><a href="/wiki/Currency_risk" class="mw-redirect" title="Currency risk">Currency risk</a></i>, the risk that foreign exchange rates (e.g. <a href="/wiki/Currency_pair" title="Currency pair">EUR/USD</a>, <a href="/wiki/Currency_pair" title="Currency pair">EUR/GBP</a>, etc.) or their implied volatility will change.</li> <li><i><a href="/wiki/Commodity_risk" title="Commodity risk">Commodity risk</a></i>, the risk that <a href="/wiki/Commodity" title="Commodity">commodity</a> prices (e.g. <a href="/wiki/Grain" title="Grain">corn</a>, <a href="/wiki/Crude_oil" class="mw-redirect" title="Crude oil">crude oil</a>) or their implied volatility will change.</li> <li><i><a href="/wiki/Margining_risk" title="Margining risk">Margining risk</a></i> results from uncertain future cash outflows due to <a href="/wiki/Margin_(finance)" title="Margin (finance)">margin</a> calls covering adverse value changes of a given position.</li> <li><i><a href="/wiki/Shape_risk" title="Shape risk">Shape risk</a></i></li> <li><i><a href="/wiki/Holding_period_risk" title="Holding period risk">Holding period risk</a></i></li> <li><i><a href="/wiki/Basis_risk" title="Basis risk">Basis risk</a></i></li></ul> <p>The <a href="/wiki/Capital_requirement" title="Capital requirement">capital requirement</a> for market risk is addressed under a revised framework known as "<a href="/wiki/FRTB" class="mw-redirect" title="FRTB">Fundamental Review of the Trading Book</a>" (FRTB). </p> <meta property="mw:PageProp/toc" /> <div class="mw-heading mw-heading2"><h2 id="Risk_management">Risk management</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Market_risk&action=edit&section=1" title="Edit section: Risk management"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <p>All businesses take risks based on two factors: the probability an adverse circumstance will come about and the cost of such adverse circumstance. <a href="/wiki/Risk_management" title="Risk management">Risk management</a> is then the study of how to control risks and balance the possibility of gains. For a discussion of the practice of (market) risk management in banks, investment firms, and corporates more generally see <a href="/wiki/Financial_risk_management#Application" title="Financial risk management">Financial risk management § Application</a>. </p> <div class="mw-heading mw-heading2"><h2 id="Measuring_the_potential_loss_amount_due_to_market_risk">Measuring the potential loss amount due to market risk</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Market_risk&action=edit&section=2" title="Edit section: Measuring the potential loss amount due to market risk"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <p>As with other forms of risk, the potential loss amount due to market risk may be measured in several ways or conventions. Traditionally, one convention is to use <a href="/wiki/Value_at_risk" title="Value at risk">value at risk</a> (VaR). The conventions of using VaR are well established and accepted in the short-term risk management practice. </p><p>However, VaR contains a number of limiting assumptions that constrain its accuracy. The first assumption is that the composition of the portfolio measured remains unchanged over the specified period. Over short time horizons, this limiting assumption is often regarded as reasonable. However, over longer time horizons, many of the positions in the portfolio may have been changed. The VaR of the unchanged portfolio is no longer relevant. Other problematic issues with VaR is that it is not <a href="/wiki/Subadditivity" title="Subadditivity">sub-additive</a>, and therefore not a <a href="/wiki/Coherent_risk_measure" title="Coherent risk measure">coherent risk measure</a>.<sup id="cite_ref-2" class="reference"><a href="#cite_note-2"><span class="cite-bracket">[</span>2<span class="cite-bracket">]</span></a></sup> As a result, other suggestions for measuring market risk is conditional value-at-risk (CVaR) that is coherent for general loss distributions, including discrete distributions and is sub-additive.<sup id="cite_ref-3" class="reference"><a href="#cite_note-3"><span class="cite-bracket">[</span>3<span class="cite-bracket">]</span></a></sup> </p><p>The <a href="/wiki/Variance_covariance" class="mw-redirect" title="Variance covariance">variance covariance</a> and <a href="/wiki/Historical_simulation_(finance)" title="Historical simulation (finance)">historical simulation</a> approach to calculating VaR assumes that historical correlations are stable and will not change in the future or breakdown under times of market stress. However these assumptions are inappropriate as during periods of high volatility and market turbulence, historical correlations tend to break down. Intuitively, this is evident during a financial crisis where all industry sectors experience a significant increase in correlations, as opposed to an upward trending market. This phenomenon is also known as asymmetric correlations or asymmetric dependence. Rather than using the historical simulation, Monte-Carlo simulations with well-specified multivariate models are an excellent alternative. For example, to improve the estimation of the variance-covariance matrix, one can generate a forecast of asset distributions via Monte-Carlo simulation based upon the Gaussian copula and well-specified marginals.<sup id="cite_ref-4" class="reference"><a href="#cite_note-4"><span class="cite-bracket">[</span>4<span class="cite-bracket">]</span></a></sup> Allowing the modelling process to allow for empirical characteristics in stock returns such as auto-regression, asymmetric volatility, skewness, and kurtosis is important. Not accounting for these attributes lead to severe estimation error in the correlation and variance-covariance that have negative biases (as much as 70% of the true values).<sup id="cite_ref-5" class="reference"><a href="#cite_note-5"><span class="cite-bracket">[</span>5<span class="cite-bracket">]</span></a></sup> Estimation of VaR or CVaR for large portfolios of assets using the variance-covariance matrix may be inappropriate if the underlying returns distributions exhibit asymmetric dependence. In such scenarios, vine copulas that allow for asymmetric dependence (e.g., Clayton, Rotated Gumbel) across portfolios of assets are most appropriate in the calculation of tail risk using VaR or CVaR.<sup id="cite_ref-6" class="reference"><a href="#cite_note-6"><span class="cite-bracket">[</span>6<span class="cite-bracket">]</span></a></sup> </p><p>Besides, care has to be taken regarding the intervening cash flow, embedded options, changes in floating rate interest rates of the financial positions in the portfolio. They cannot be ignored if their impact can be large. </p> <div class="mw-heading mw-heading2"><h2 id="Regulatory_views">Regulatory views</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Market_risk&action=edit&section=3" title="Edit section: Regulatory views"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <p>The <a href="/wiki/Basel_Committee" class="mw-redirect" title="Basel Committee">Basel Committee</a> set revised minimum <a href="/wiki/Capital_requirements" class="mw-redirect" title="Capital requirements">capital requirements</a> for market risk in January 2016.<sup id="cite_ref-7" class="reference"><a href="#cite_note-7"><span class="cite-bracket">[</span>7<span class="cite-bracket">]</span></a></sup> These revisions, the <a href="/wiki/FRTB" class="mw-redirect" title="FRTB">"Fundamental Review of the Trading Book"</a>, address deficiencies relating to the existing <i>Internal models</i> and <i>Standardised approach</i> for the calculation of market-risk capital, and in particular discuss the following: </p> <ul><li>Boundary between the "<a href="/wiki/Trading_book" class="mw-redirect" title="Trading book">Trading book</a>" and the "<a href="/wiki/Banking_book" class="mw-redirect" title="Banking book">Banking book</a>"</li> <li>Use of <a href="/wiki/Value_at_risk" title="Value at risk">value at risk</a> vs. <a href="/wiki/Expected_shortfall" title="Expected shortfall">expected shortfall</a> to measure of risk under stress</li> <li>The risk of <a href="/wiki/Liquidity_risk" title="Liquidity risk">market illiquidity</a></li></ul> <div class="mw-heading mw-heading2"><h2 id="Use_in_annual_reports_of_U.S._corporations">Use in annual reports of U.S. corporations</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Market_risk&action=edit&section=4" title="Edit section: Use in annual reports of U.S. corporations"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <p>In the <a href="/wiki/United_States" title="United States">United States</a>, a section on market risk is mandated by the <a href="/wiki/United_States_Securities_and_Exchange_Commission" class="mw-redirect" title="United States Securities and Exchange Commission">SEC</a><sup id="cite_ref-8" class="reference"><a href="#cite_note-8"><span class="cite-bracket">[</span>8<span class="cite-bracket">]</span></a></sup> in all annual reports submitted on <a href="/wiki/Form_10-K" title="Form 10-K">Form 10-K</a>. The company must detail how its results may depend directly on financial markets. This is designed to show, for example, an investor who believes he is investing in a normal milk company, that the company is also carrying out non-dairy activities such as investing in complex derivatives or foreign exchange futures. </p> <div class="mw-heading mw-heading2"><h2 id="Market_risk_for_physical_investments">Market risk for physical investments</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Market_risk&action=edit&section=5" title="Edit section: Market risk for physical investments"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <p>Physical investments face market risks as well, for example <a href="/wiki/Real_capital" class="mw-redirect" title="Real capital">real capital</a> such as real estate can lose market value and cost components such as fuel costs can fluctuate with market prices. On the other hand, some investments in physical capital can reduce risk and the value of the risk reduction can be estimated with financial calculation methods, just as market risk in financial markets is estimated. For example <a href="/wiki/Fuel_efficiency" title="Fuel efficiency">energy efficiency</a> investments, in addition to reducing fuel costs, reduce exposure fuel price risk. As less fuel is consumed, a smaller cost component is susceptible to fluctuations in fuel prices. The value of this risk reduction can be calculated using the Tuominen-Seppänen method<sup id="cite_ref-9" class="reference"><a href="#cite_note-9"><span class="cite-bracket">[</span>9<span class="cite-bracket">]</span></a></sup> and its value has been shown to be approximately 10% compared to direct cost savings for a typical energy efficient building.<sup id="cite_ref-10" class="reference"><a href="#cite_note-10"><span class="cite-bracket">[</span>10<span class="cite-bracket">]</span></a></sup> ЙмКж </p> <div class="mw-heading mw-heading2"><h2 id="See_also">See also</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Market_risk&action=edit&section=6" title="Edit section: See also"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <ul><li><a href="/wiki/Systemic_risk" title="Systemic risk">Systemic risk</a></li> <li><a href="/wiki/Cost_risk" class="mw-redirect" title="Cost risk">Cost risk</a></li> <li><a href="/wiki/Demand_risk" class="mw-redirect" title="Demand risk">Demand risk</a></li> <li><a href="/wiki/Valuation_risk" title="Valuation risk">Valuation risk</a></li> <li><a href="/wiki/Risk_modeling" class="mw-redirect" title="Risk modeling">Risk modeling</a></li> <li><a href="/wiki/Risk_attitude" class="mw-redirect" title="Risk attitude">Risk attitude</a></li> <li><a href="/wiki/Modern_portfolio_theory" title="Modern portfolio theory">Modern portfolio theory</a></li> <li><a href="/wiki/Risk_return_ratio" class="mw-redirect" title="Risk return ratio">Risk return ratio</a></li> <li><a href="/wiki/Financial_risk_management#Banking" title="Financial risk management">Financial risk management § Banking</a></li> <li><a href="/wiki/FRTB" class="mw-redirect" title="FRTB">Fundamental Review of the Trading Book (FRTB)</a> <ul><li><a href="/wiki/Internal_models_approach_(market_risk)" class="mw-redirect" title="Internal models approach (market risk)">Internal models approach (market risk)</a></li> <li><a href="/wiki/Standardized_approach_(market_risk)" class="mw-redirect" title="Standardized approach (market risk)">Standardized approach (market risk)</a></li></ul></li></ul> <div class="mw-heading mw-heading2"><h2 id="References">References</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Market_risk&action=edit&section=7" title="Edit section: References"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <style data-mw-deduplicate="TemplateStyles:r1239543626">.mw-parser-output .reflist{margin-bottom:0.5em;list-style-type:decimal}@media screen{.mw-parser-output .reflist{font-size:90%}}.mw-parser-output .reflist .references{font-size:100%;margin-bottom:0;list-style-type:inherit}.mw-parser-output .reflist-columns-2{column-width:30em}.mw-parser-output .reflist-columns-3{column-width:25em}.mw-parser-output .reflist-columns{margin-top:0.3em}.mw-parser-output .reflist-columns ol{margin-top:0}.mw-parser-output .reflist-columns li{page-break-inside:avoid;break-inside:avoid-column}.mw-parser-output .reflist-upper-alpha{list-style-type:upper-alpha}.mw-parser-output .reflist-upper-roman{list-style-type:upper-roman}.mw-parser-output .reflist-lower-alpha{list-style-type:lower-alpha}.mw-parser-output .reflist-lower-greek{list-style-type:lower-greek}.mw-parser-output .reflist-lower-roman{list-style-type:lower-roman}</style><div class="reflist"> <div class="mw-references-wrap"><ol class="references"> <li id="cite_note-1"><span class="mw-cite-backlink"><b><a href="#cite_ref-1">^</a></b></span> <span class="reference-text">Bank for International Settlements: A glossary of terms used in payments and settlement systems <a rel="nofollow" class="external autonumber" href="http://www.bis.org/publ/cpss00b.pdf">[1]</a></span> </li> <li id="cite_note-2"><span class="mw-cite-backlink"><b><a href="#cite_ref-2">^</a></b></span> <span class="reference-text"><style 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no-repeat}body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-free a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-limited a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-registration a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-subscription a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .cs1-ws-icon a{background-size:contain;padding:0 1em 0 0}.mw-parser-output .cs1-code{color:inherit;background:inherit;border:none;padding:inherit}.mw-parser-output .cs1-hidden-error{display:none;color:var(--color-error,#d33)}.mw-parser-output .cs1-visible-error{color:var(--color-error,#d33)}.mw-parser-output .cs1-maint{display:none;color:#085;margin-left:0.3em}.mw-parser-output .cs1-kern-left{padding-left:0.2em}.mw-parser-output .cs1-kern-right{padding-right:0.2em}.mw-parser-output .citation .mw-selflink{font-weight:inherit}@media screen{.mw-parser-output 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Prentice Hall. <a href="/wiki/ISBN_(identifier)" class="mw-redirect" title="ISBN (identifier)">ISBN</a> <a href="/wiki/Special:BookSources/0-13-752106-5" title="Special:BookSources/0-13-752106-5"><bdi>0-13-752106-5</bdi></a>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Abook&rft.genre=book&rft.btitle=Introduction+to+Risk+Management+and+Insurance+%286th+ed.%29&rft.pub=Prentice+Hall&rft.date=1997&rft.isbn=0-13-752106-5&rft.au=Dorfman%2C+Mark+S.&rfr_id=info%3Asid%2Fen.wikipedia.org%3AMarket+risk" class="Z3988"></span></li></ul> <div class="mw-heading mw-heading2"><h2 id="External_links">External links</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=Market_risk&action=edit&section=8" title="Edit section: External links"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <ul><li><a rel="nofollow" class="external text" href="https://www.springer.com/gp/book/9783030428655">Bank Management and Control</a>, Springer Nature – Management for Professionals, 2020</li> <li><a rel="nofollow" class="external text" href="https://web.archive.org/web/20160304085319/http://www.coopext.colostate.edu/abm/abmmanagingmarketrisk.pdf">Managing market risks by forwarding pricing</a></li> <li><a rel="nofollow" class="external text" href="https://web.archive.org/web/20061116070235/http://www.uiowa.edu/ifdebook/faq/Hedge.shtml">How hedge funds limit exposure to market risk</a></li></ul> <div class="navbox-styles"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1129693374"><style data-mw-deduplicate="TemplateStyles:r1236075235">.mw-parser-output .navbox{box-sizing:border-box;border:1px solid #a2a9b1;width:100%;clear:both;font-size:88%;text-align:center;padding:1px;margin:1em auto 0}.mw-parser-output .navbox .navbox{margin-top:0}.mw-parser-output .navbox+.navbox,.mw-parser-output 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.navbox-title{background-color:#ddf}.mw-parser-output .navbox-subgroup .navbox-group,.mw-parser-output .navbox-subgroup .navbox-abovebelow{background-color:#e6e6ff}.mw-parser-output .navbox-even{background-color:#f7f7f7}.mw-parser-output .navbox-odd{background-color:transparent}.mw-parser-output .navbox .hlist td dl,.mw-parser-output .navbox .hlist td ol,.mw-parser-output .navbox .hlist td ul,.mw-parser-output .navbox td.hlist dl,.mw-parser-output .navbox td.hlist ol,.mw-parser-output .navbox td.hlist ul{padding:0.125em 0}.mw-parser-output .navbox .navbar{display:block;font-size:100%}.mw-parser-output .navbox-title .navbar{float:left;text-align:left;margin-right:0.5em}body.skin--responsive .mw-parser-output .navbox-image img{max-width:none!important}@media print{body.ns-0 .mw-parser-output .navbox{display:none!important}}</style></div><div role="navigation" class="navbox" aria-labelledby="Financial_risk_and_financial_risk_management" style="padding:3px"><table class="nowraplinks hlist mw-collapsible autocollapse navbox-inner" style="border-spacing:0;background:transparent;color:inherit"><tbody><tr><th scope="col" class="navbox-title" colspan="2"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1129693374"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1239400231"><div class="navbar plainlinks hlist navbar-mini"><ul><li class="nv-view"><a href="/wiki/Template:Financial_risk" title="Template:Financial risk"><abbr title="View this template">v</abbr></a></li><li class="nv-talk"><a href="/wiki/Template_talk:Financial_risk" title="Template talk:Financial risk"><abbr title="Discuss this template">t</abbr></a></li><li class="nv-edit"><a href="/wiki/Special:EditPage/Template:Financial_risk" title="Special:EditPage/Template:Financial risk"><abbr title="Edit this template">e</abbr></a></li></ul></div><div id="Financial_risk_and_financial_risk_management" style="font-size:114%;margin:0 4em"><a href="/wiki/Financial_risk" title="Financial risk">Financial risk</a> and <a href="/wiki/Financial_risk_management" title="Financial risk management">financial risk management</a></div></th></tr><tr><th scope="row" class="navbox-group" style="width:1%">Categories</th><td class="navbox-list-with-group navbox-list navbox-odd" style="width:100%;padding:0"><div style="padding:0 0.25em"></div><table class="nowraplinks navbox-subgroup" style="border-spacing:0"><tbody><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Credit_risk" title="Credit risk">Credit risk</a></th><td class="navbox-list-with-group navbox-list navbox-odd" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Consumer_credit_risk" title="Consumer credit risk">Consumer credit risk</a></li> <li><a href="/wiki/Sovereign_credit_risk" title="Sovereign credit risk">Sovereign credit risk</a></li> <li><a href="/wiki/Settlement_risk" title="Settlement risk">Settlement risk</a></li> <li><a href="/wiki/Default_(finance)" title="Default (finance)">Default risk</a></li> <li><a href="/wiki/Concentration_risk" title="Concentration risk">Concentration risk</a></li> <li><a href="/wiki/Credit_derivative" title="Credit derivative">Credit derivative</a></li> <li><a href="/wiki/Securitization" title="Securitization">Securitization</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a class="mw-selflink selflink">Market risk</a></th><td class="navbox-list-with-group navbox-list navbox-even" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Commodity_risk" title="Commodity risk">Commodity risk</a> (e.g. <a href="/wiki/Volume_risk" title="Volume risk">Volume risk</a>, <a href="/wiki/Basis_risk" title="Basis risk">Basis risk</a>, <a href="/wiki/Shape_risk" title="Shape risk">Shape risk</a>, <a href="/wiki/Holding_period_risk" title="Holding period risk">Holding period risk</a>, <a href="/wiki/Price_area_risk" class="mw-redirect" title="Price area risk">Price area risk</a>)</li> <li><a href="/wiki/Equity_risk" title="Equity risk">Equity risk</a></li> <li><a href="/wiki/Valuation_risk" title="Valuation risk">Valuation risk</a></li> <li><a href="/wiki/Foreign_exchange_risk" title="Foreign exchange risk">FX risk</a></li> <li><a href="/wiki/Margining_risk" title="Margining risk">Margining risk</a></li> <li><a href="/wiki/Interest_rate_risk" title="Interest rate risk">Interest rate risk</a></li> <li><a href="/wiki/Inflation_risk" class="mw-redirect" title="Inflation risk">Inflation risk</a></li> <li><a href="/wiki/Volatility_risk" title="Volatility risk">Volatility risk</a></li> <li><a href="/wiki/Liquidity_risk" title="Liquidity risk">Liquidity risk</a> (e.g. <a href="/wiki/Refinancing_risk" title="Refinancing risk">Refinancing risk</a>, <a href="/wiki/Deposit_risk" title="Deposit risk">Deposit risk</a>)</li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Operational_risk" title="Operational risk">Operational risk</a></th><td class="navbox-list-with-group navbox-list navbox-odd" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Operational_risk_management" title="Operational risk management">Operational risk management</a></li> <li><a href="/wiki/Business_risk" class="mw-redirect" title="Business risk">Business risk</a></li> <li><a href="/wiki/Model_risk" title="Model risk">Model risk</a></li> <li><a href="/wiki/Reputational_risk" class="mw-redirect" title="Reputational risk">Reputational risk</a></li> <li><a href="/wiki/Country_risk" title="Country risk">Country risk</a></li> <li><a href="/wiki/Political_risk" title="Political risk">Political risk</a></li> <li><a href="/wiki/Legal_risk" title="Legal risk">Legal risk</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Other</th><td class="navbox-list-with-group navbox-list navbox-even" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Execution_risk" class="mw-redirect" title="Execution risk">Execution risk</a></li> <li><a href="/wiki/Profit_risk" title="Profit risk">Profit risk</a></li> <li><a href="/wiki/Systemic_risk" title="Systemic risk">Systemic risk</a></li> <li><a href="/wiki/Non-financial_risk" title="Non-financial risk">Non-financial risk</a></li></ul> </div></td></tr></tbody></table><div></div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Financial_risk_modeling" title="Financial risk modeling">Modeling</a></th><td class="navbox-list-with-group navbox-list navbox-odd" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Arbitrage_pricing_theory" title="Arbitrage pricing theory">Arbitrage pricing theory</a></li> <li><a href="/wiki/Black%E2%80%93Scholes_model" title="Black–Scholes model">Black–Scholes model</a></li> <li><a href="/wiki/Replicating_portfolio" title="Replicating portfolio">Replicating portfolio</a></li> <li><a href="/wiki/Cashflow_matching" title="Cashflow matching">Cash flow matching</a></li> <li><a href="/wiki/Expected_shortfall" title="Expected shortfall">Conditional Value-at-Risk (CVaR)</a></li> <li><a href="/wiki/Copula_(probability_theory)" class="mw-redirect" title="Copula (probability theory)">Copula</a></li> <li><a href="/wiki/Drawdown_(economics)" title="Drawdown (economics)">Drawdown</a></li> <li><a href="/wiki/First-hitting-time_model" title="First-hitting-time model">First-hitting-time model</a></li> <li><a href="/wiki/Immunization_(finance)" title="Immunization (finance)">Interest rate immunization</a></li> <li><a href="/wiki/Market_portfolio" title="Market portfolio">Market portfolio</a></li> <li><a href="/wiki/Modern_portfolio_theory" title="Modern portfolio theory">Modern portfolio theory</a></li> <li><a href="/wiki/Omega_ratio" title="Omega ratio">Omega ratio</a></li> <li><a href="/wiki/Risk-adjusted_return_on_capital" title="Risk-adjusted return on capital">RAROC</a></li> <li><a href="/wiki/Risk-free_interest_rate" class="mw-redirect" title="Risk-free interest rate">Risk-free rate</a></li> <li><a href="/wiki/Risk_parity" title="Risk parity">Risk parity</a></li> <li><a href="/wiki/Sharpe_ratio" title="Sharpe ratio">Sharpe ratio</a></li> <li><a href="/wiki/Sortino_ratio" title="Sortino ratio">Sortino ratio</a></li> <li><a href="/wiki/Survival_analysis" title="Survival analysis">Survival analysis</a> (<a href="/wiki/Proportional_hazards_model" title="Proportional hazards model">Proportional hazards model</a>)</li> <li><a href="/wiki/Tracking_error" title="Tracking error">Tracking error</a></li> <li><a href="/wiki/Value_at_risk" title="Value at risk">Value-at-Risk (VaR)</a> and extensions (<a href="/wiki/Profit_at_risk" title="Profit at risk">Profit at risk</a>, <a href="/wiki/Margin_at_risk" title="Margin at risk">Margin at risk</a>, <a href="/wiki/Liquidity_at_risk" title="Liquidity at risk">Liquidity at risk</a>, <a href="/wiki/Cash_flow_at_risk" class="mw-redirect" title="Cash flow at risk">Cash flow at risk</a>, <a href="/wiki/Earnings_at_risk" title="Earnings at risk">Earnings at risk</a>)</li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Basic concepts</th><td class="navbox-list-with-group navbox-list navbox-even" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Asset_allocation" title="Asset allocation">Asset allocation</a></li> <li><a href="/wiki/Asset_and_liability_management" title="Asset and liability management">Asset and liability management</a></li> <li><a href="/wiki/Asset_pricing" title="Asset pricing">Asset pricing</a></li> <li><a href="/wiki/Bad_debt" title="Bad debt">Bad debt</a></li> <li><a href="/wiki/Capital_asset" title="Capital asset">Capital asset</a></li> <li><a href="/wiki/Capital_structure" title="Capital structure">Capital structure</a></li> <li><a href="/wiki/Corporate_finance" title="Corporate finance">Corporate finance</a></li> <li><a href="/wiki/Cost_of_capital" title="Cost of capital">Cost of capital</a></li> <li><a href="/wiki/Diversification_(finance)" title="Diversification (finance)">Diversification</a></li> <li><a href="/wiki/Economic_bubble" title="Economic bubble">Economic bubble</a></li> <li><a href="/wiki/Enterprise_value" title="Enterprise value">Enterprise value</a></li> <li><a href="/wiki/Environmental,_social,_and_governance" title="Environmental, social, and governance">ESG</a></li> <li><a href="/wiki/Exchange_traded_fund" class="mw-redirect" title="Exchange traded fund">Exchange traded fund</a></li> <li><a href="/wiki/Expected_return" title="Expected return">Expected return</a></li> <li><a href="/wiki/Finance" title="Finance">Financial</a> <ul><li><a href="/wiki/Financial_adviser" title="Financial adviser">adviser</a></li> <li><a href="/wiki/Financial_analysis" title="Financial analysis">analysis</a></li> <li><a href="/wiki/Financial_analyst" title="Financial analyst">analyst</a></li> <li><a href="/wiki/Financial_asset" title="Financial asset">asset</a></li> <li><a href="/wiki/Financial_betting" title="Financial betting">betting</a></li> <li><a href="/wiki/Financial_crime" title="Financial crime">crime</a></li> <li><a href="/wiki/Financial_engineering" title="Financial engineering">engineering</a></li> <li><a href="/wiki/Financial_law" title="Financial law">law</a></li> <li><a href="/wiki/Financial_risk" title="Financial risk">risk</a></li> <li><a href="/wiki/Financial_social_work" title="Financial social work">social work</a></li></ul></li> <li><a href="/wiki/Fundamental_analysis" title="Fundamental analysis">Fundamental analysis</a></li> <li><a href="/wiki/Growth_investing" title="Growth investing">Growth investing</a></li> <li><a href="/wiki/Hazard" title="Hazard">Hazard</a></li> <li><a href="/wiki/Hedge_(finance)" title="Hedge (finance)">Hedge</a></li> <li><a href="/wiki/Investment_management" title="Investment management">Investment management</a></li> <li><a href="/wiki/Risk" title="Risk">Risk</a></li> <li><a href="/wiki/Risk_pool" title="Risk pool">Risk pool</a></li> <li><a href="/wiki/Risk_of_ruin" title="Risk of ruin">Risk of ruin</a></li> <li><a href="/wiki/Systematic_risk" title="Systematic risk">Systematic risk</a></li> <li><a href="/wiki/Mathematical_finance" title="Mathematical finance">Mathematical finance</a></li> <li><a href="/wiki/Moral_hazard" title="Moral hazard">Moral hazard</a></li> <li><a href="/wiki/Risk-return_spectrum" class="mw-redirect" title="Risk-return spectrum">Risk-return spectrum</a></li> <li><a href="/wiki/Speculation" title="Speculation">Speculation</a></li> <li><a href="/wiki/Speculative_attack" title="Speculative attack">Speculative attack</a></li> <li><a href="/wiki/Statistical_finance" title="Statistical finance">Statistical finance</a></li> <li><a href="/wiki/Strategic_financial_management" title="Strategic financial management">Strategic financial management</a></li> <li><a href="/wiki/Stress_test_(financial)" title="Stress test (financial)">Stress test (financial)</a></li> <li><a href="/wiki/Structured_finance" title="Structured finance">Structured finance</a></li> <li><a href="/wiki/Structured_product" title="Structured product">Structured product</a></li> <li><a href="/wiki/Systemic_risk" title="Systemic risk">Systemic risk</a></li> <li><a href="/wiki/Toxic_asset" title="Toxic asset">Toxic asset</a></li></ul> </div></td></tr><tr><td class="navbox-abovebelow" colspan="2"><div> <ul><li><a href="/wiki/Financial_economics" title="Financial economics">Financial economics</a></li> <li><a href="/wiki/Investment_management" title="Investment management">Investment management</a></li> <li><a href="/wiki/Mathematical_finance" title="Mathematical finance">Mathematical finance</a></li></ul> </div></td></tr></tbody></table></div> <div class="navbox-styles"><link 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