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Topic: Market risk

Related Topics

Legal risk

Liquidity risk

Operational risk

Risk management

Systemic risk

Specific risk

Credit risk

Volatility risk

Risk

Hedging

Modern portfolio theory

Capital asset pricing model

Value at risk

Basel II

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	Risk - Wikipedia, the free encyclopedia
		Risk is often mapped to the probability of some event which is seen as undesirable.
		In financial markets one may need to measure credit risk, information timing and source risk, probability model risk, and legal risk if there are regulatory or civil actions taken as a result of some "investor's regret".
		Risk in that case is the degree of uncertainty associated with a return on an asset.
	en.wikipedia.org /wiki/Risk (1595 words)

	Market risk - Wikipedia, the free encyclopedia
		Market risk is the risk that the value of your investment will decrease due to moves in market factors.
		Market risk is typically measured using a Value at Risk methodology.
		Market risk can also be contrasted with Specific risk which measures the risk of a decrease in one's investment due to a change in a specific industry or sector, as opposed to a market-wide move.
	en.wikipedia.org /wiki/Market_risk (240 words)

	Item 305 -- Quantitative and Qualitative Disclosures about Market Risk
		For each market risk exposure category within the trading and other than trading portfolios, registrants may report the average, high, and low sensitivity analysis or value at risk amounts for the reporting period, as an alternative to reporting year-end amounts.
		Changes in either the registrant's primary market risk exposures or how those exposures are managed, when compared to what was in effect during the most recently completed fiscal year and what is known or expected to be in effect in future reporting periods.
		Registrants that voluntarily include other market risk sensitive instruments, positions and transactions within their quantitative disclosures about market risk under the sensitivity analysis or value at risk disclosure alternatives are not required to provide separate market risk disclosures for any voluntarily selected instruments, positions, or transactions.
	www.law.uc.edu /CCL/regS-K/SK305.html (4823 words)

	Market Risk Disclosure FAQ
		Market capitalization is the aggregate market value of common equity calculated for Form S-3 eligibility (General Instruction I.B.1 of that form), with two exceptions.
		The market risk exposures of the two commodities are sufficiently different that only the Chicago wheat deliveries are required in the voluntary disclosures of market risk sensitive positions.
		If a known market risk affected reported trends or financial condition in the period presented, or is reasonably likely to affect materially future reported results or liquidity, discussion of the market risk and its effects is necessary in MDandA.
	www.sec.gov /divisions/corpfin/guidance/derivfaq.htm (7865 words)

	risk management, market risk, operational risk, liquidity risk
		Market risk is usually measured as the potential gain/loss in a position/portfolio that is associated with a price movement of a given probability over a specified time horizon.
		A seminal regulatory document on market risk is the Basle Committee's "Proposal to Issue a Supplement to the Basle Capital Accord to cover Market Risks (1995)." This paper is significant because it marks a significant shift in thinking on the part of banking regulators.
		It is debatable whether the hedge was effective from a market risk standpoint, but it was the liquidity crisis caused by staggering margin calls on the futures that forced Metallgesellschaft to unwind the positions.
	www.riskmanage.co.uk /4862/5433.html (2732 words)

	3. Market risk
		Market risk is the risk that the value of on- or off-balance-sheet positions will decline before the positions can be liquidated or offset with other positions.
		General market risk - long and short positions broken down by time-bands according to residual maturity or to duration; breakdown of positions by currency (main currencies relative to the activity of the firm [for supervisory purposes] or all G-10 currencies [for G-10-wide aggregation exercise]).
		In assessing this information, supervisors should understand whether the market risk capital information is presented by the institution on a group-wide, consolidated basis and the extent of off-setting between entities within the group.
	riskinstitute.ch /145610.htm (1612 words)

	Market Risk
		For convenience, we distinguish between different categories of risk: market risk, credit risk, liquidity risk, etc. Although such categorization is convenient, it is only informal.
		Market risk is exposure to the uncertain market value of a portfolio.
		beta—a metric of the systematic risk of a portfolio.
	www.riskglossary.com /articles/market_risk.htm (756 words)

	Market risk
		Market risk is the risk that market variables will move and result in profits or losses on positions kept.
		Market risk arises from trading activities in order to facilitate client transactions and from trading for the bank’s own account.
		Market risk limits are set for each location, for each trading portfolio, as well as at several key aggregation levels and are monitored on a daily basis.
	www.abnamro.com /annualreports/2001/index3_html_folder_121_page_123.htm (575 words)

	EXVaR Risk Management: Risk Software suite - Chosen By Paris Bourse to manage Financial Risk in Real-time with Full ...
		SFS is working with the best world risk specialists and researchers, participates in major Risk conferences and publishes its latest financial risk and pricing research.
		EXVaR is capable of identifying the financial risk stemming from Futures commodity trading (physical oil risk management included), and in general can calculate the value at risk of a large portfolio of derivatives (vanilla options, cap, floor, asian options) in a few seconds.
		Risk reports are generated by the Risk software in a number of formats for regulatory and company management purposes.
	software.clearingrisk.com (1568 words)

	Market Risk (Site not responding. Last check: 2007-10-08)
		Market risk is the chance that the entire market will decline, thus affecting the prices and values of securities.
		Market risk, in turn, is influenced by outside factors such as embargoes and interest rate changes.
		Liquidity risk is the risk that an investment, when converted to cash, will experience loss in its value.
	www.ameritrade.com /educationv2/fhtml/learning/mktrisk.fhtml (220 words)

	Modeling Liquidity Risk: With Implications for Traditional Market Risk Measurement and Management
		We argue that liquidity risk associated with the uncertainty of the spread, particularly for thinly traded or emerging market securities under adverse market conditions, is an important part of overall risk and is therefore an important component to model.
		We develop a simple liquidity risk methodology that can be easily and seamlessly integrated into standard value-at-risk models, and we show that ignoring the liquidity effect can produce underestimates of market risk in emerging markets by as much as 25-30%.
		Furthermore, we show that the BIS inadvertently is already monitoring liquidity risk, and that by not modeling it explicitly and therefore capitalizing against it, banks will be experiencing surprisingly many violations of capital requirements, particularly if their portfolios are concentrated in emerging markets.
	www.defaultrisk.com /pp_liqty_02.htm (289 words)

	Weather Risk - Derivatives market
		If it can calculate its basis risk, the company might choose to hedge its risk at a Chicago "hub" point, where the market tends to be deeper and more efficient, and the price of the deal could compensate for the basis risk.
		Basis risk is the risk that the temperature of the location specified in the derivatives contract doesn't change in line with the temperature at the location being hedged.
		Although the market for plain vanilla weather derivatives is still thinly traded, derivatives providers are already trying to market variations on a theme.
	www.financewise.com /public/edit/energy/weatherrisk/wthr-derivatives.htm (1647 words)

	Overview: Market Risk
		Generally the number of risk factors and the level of detail involved per asset class is greatest where the bank has the largest exposure.
		In a report titled, "Performance of Models-Based Capital Charges for Market Risk (1999)", the Committee notes that none of the 40 institutions surveyed reported trading losses over any 10-day consecutive period that exceeded the capital requirement in force at the start of the period.
		But since VAR can only be used to manage market risk, and thus to calculate charges for market risk, the SEC has to look for additional methods to calculate capital for other risks such as credit, liquidity and operations.
	riskinstitute.ch /00013404.htm (2318 words)

	Market risk -- Facts, Info, and Encyclopedia article (Site not responding. Last check: 2007-10-08)
		(additional info and facts about Interest rate risk) Interest rate risk, or the risk that interest rates will change.
		Market risk is typically measured using a (additional info and facts about Value at Risk) Value at Risk methodology.
		Market risk can also be contrasted with (additional info and facts about Specific risk) Specific risk which measures the risk of a decrease in one's investment due to a change in a specific industry or sector, as opposed to a market-wide move.
	www.absoluteastronomy.com /encyclopedia/m/ma/market_risk.htm (212 words)

	CREDIT RISK
		Risk promises you at least a brief response to your important question, as soon as he has a free moment.
		Until your clarification arrives, Dr. Risk guesses that forward delta came up in the context of hedging an option's market risk in the forward market for the underlying, rather than the spot market.
		Risk's answer.] ] I kind of had a sense of what forward delta is used for but I wanted to see a formula.
	www.margrabe.com /MarketRisk.html (808 words)

	EK 420 - PORTFOLIO THEORY - BASIC CONCEPTS (Site not responding. Last check: 2007-10-08)
		"Market Risk" is one of the two basic forms of investment risk - the other being "Specific Risk".
		As "Market Risks" affect all businesses, it is generally not possible to diversify away this form of risk.
		The only possible exception to this statement is where an investor chooses to reposition from a domestic market to an international market.
	www.herts.ac.uk /business/finman/ek420a.htm (232 words)

	market risk and Stock Trading at TradeStars + Stock Trading (Site not responding. Last check: 2007-10-08)
		market risk and stock trading - If you need information on market risk with no charge with a smile and a guarantee of friendly advice.
		As world economies boom and bust, stock markets go with throughout the day in the hope that their stocks will continue that report and other information about day-trading in the NASAA Library on NASAAs website highest market risk opened day trade position.
		The day trade buying power is set at the on the same day in a single market risk account.
	www.tradestars.com /content/Market-risk.asp (123 words)

	The measurement of aggregate market risk (CGFS Publications No. 7)
		The papers address measurement of market risk, market dynamics, market liquidity, and the role that information plays in determining market outcomes in unsettled circumstances.
		The behaviour of markets in the face of shocks has long been an area of fundamental central bank interest and responsibility.
		Measurment of liquidity risk in the context of market risk calculation
	www.bis.org /publ/ecsc07.htm (441 words)

	RiskCenter: A Financial Risk Management Media Company
		When rating the creditworthiness of US electricity transmission providers, several key business risk factors are reviewed in conjunction with multiple financial metrics and a qualitative assessment of other financial issues.
		The meeting is grappling with the challenge posed to world health and the global economy by the persistence of the H5N1 avian influenza virus, and the risk it poses of a human pandemic.
		Nearly two-thirds of global investors will apply a penalty towards a potential investment target if they consider risk management to be insufficient, while almost half have de-invested for this reason.
	www.riskcenter.com (1909 words)

	The Best Financial Engineering, Risk Management and Trading Books (Site not responding. Last check: 2007-10-08)
		Risk Management and Analysis, Volume 1 is an edited collection on quantitative techniques in financial risk management.
		Financial Risk Management is a sophisticated text on market risk management primarily for derivatives dealers.
		Measuring Market Risk is an excellent introduction to VaR and survey of the literature.
	www.riskbook.com /topics/all_recommendations.htm (2425 words)

	value at risk - Discount ISP and Web Hosting Online
		Value at risk (VAR) is a statistical risk measure which is used extensively for measuring the market risk of portfolios of assets and/or liabilities.
		Value-at-risk (VaR) is a category of risk measures that describe probabilistically the market risk of a trading...
		The case also introduces the concept of "Value at Risk" (VAR), which is a simple method to express the risk...
	www.gilliganandcompany.com /value-at-risk.html (407 words)

	Amazon.co.uk: Value at Risk: The Benchmark for Controlling Market Risk: Books (Site not responding. Last check: 2007-10-08)
		Even as risk management assumes an increasingly central role in financial institutions, the actual understanding of financial risk continues to be problematic.
		For financial risk managers attempting to navigate this tumultuous, rapidly changing environment, the updated, expanded, and substantially revised Value at Risk, second edition, will clarify the latest advances in risk management.
		Initially confined to measuring market risk, VAR is now being used to actively control financial risk well beyond derivatives.
	www.amazon.co.uk /exec/obidos/ASIN/0071355022 (961 words)

	Techbooks Bookshop : Measuring and Managing Derivative Market Risk by David Lawrence
		The enormous growth in derivatives trading volumes over the past five years, coupled with recent well-publicised market losses, have forced the need for a much closer understanding of derivative instruments and of the market risk involved.
		It examines industry-recommended techniques of marking to market, factor sensitivity analysis, value-at-risk and stress testing, and their practical applications for successful risk management.
		For a reliable, comprehensive treatment of market risk, this book is the definitive handbook for derivatives traders, risk managers and all those working in the industry.
	www.global-investor.com /cgi-bin/euler.pl?id=s21412&uid=&action=display&ref=9173 (251 words)

	Amazon.com: The Psychology of Risk: Mastering Market Uncertainty: Books: Ari Kiev,Ari Kiev,Ken Grant (Site not responding. Last check: 2007-10-08)
		This book bridges the gap between investor psychology and quantitative risk management with a revolutionary risk management program that virtually any trader or investor can easily adapt to their goals and personalities.
		By focusing on your appetite for risk-taking, your ability to manage and adapt to risk, and your pathological patterns of risk-taking, Kiev shows you how to overcome the psychological obstacles of risk that undermine your decision-making process and ability to cut losing trades and stick with winners.
		Risk taking does not mean living dangerously; it shows a willingness to act beyond the circle of what you already know.
	www.amazon.com /exec/obidos/tg/detail/-/0471403873?v=glance (1785 words)

	Trading Systems and Methods (Site not responding. Last check: 2007-10-08)
		While the data and information may be a bit "dated", those interested in the development of trading systems and in moving averages will find this to be a worthwhile addition to their trading library.
		By tapping into the natural order unlerlying all traded markets, and applying the unique concept of "matching waves" to forecast imminent price moves...this powerful method opens the door for the individual trader to a level of profitability never quite attainable before.
		His method may be applied to any liquid market in any time frame, and may prove to be the most valuable information you have ever added to your trading knowledge.
	www.traderspress.org /categories/trading_systems_methods.asp (1592 words)

	Reuters - Products & Services -
		We have built on our strength in the front office to address risk and trade management through to the back office, including advanced middle-office functionality for market and credit risk and comprehensive features for settlement, clearing, the generation of accounting entries and cash management.
		Kondor+, a component of Reuters Trade and Risk Management suite, is a real-time position-keeping system that offers a sophisticated and flexible means of capturing deals and managing risk.
		Kondor Value at Risk is a powerful, enterprise-wide risk management system for the middle office that enables you to manage financial risk in a global economy.
	risk.reuters.com (176 words)

	Amazon.com: The Market Risk Amendment: Understanding the Marking-to-Model and Value-at-Risk: Books (Site not responding. Last check: 2007-10-08)
		The Market Risk Amendment is the first book that examines the 1996 Market Risk Amendment from every angle, creating not just a listing of techniques or tools with which to comply but a comprehensive understanding of how to operate and build your business in this new risk environment.
		With the Market Risk Amendment, the influential Basle Committee established standards and practices for risk management worldwide, and greatly increased the risk exposure capital requirements for banks worldwide.
		In The Market Risk Amendment, Dr. Dimitris N. Chorafas thoroughly explains this mandatory regulation, describes methods for establishing compliance for your institution, relates the parametric and simulation techniques for calculating Value at Risk, and provides easy-to-understand practices for monitoring and controlling your bankOs risk exposure.
	www.amazon.com /exec/obidos/tg/detail/-/0786312246?v=glance (549 words)

	Offers a bond market risk index and crash indication
		This benchmark indicates the risk of global bond market investments on an aggregated basis.
		Subscribe to our free newsletter in order to receive the current bond market risk and crash indication plus all stock and bond trading system signals of our market timing models.
		This risk index has been prepared solely for informational purposes, and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any particular trading or market timing strategy.
	www.sniper.at /bond-market-risk-index.htm (216 words)

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