Liquidity-, Funding- and Market-Risk Measurement and Stress-Testing

2012 ◽  
Author(s):  
Attilio Meucci
Keyword(s):  
Stress Testing ◽  
Market Risk ◽  
Risk Measurement

scholarly journals A Computationally more Efficient Distance based VaR Methodology for Real Time Market Risk Measurement

2015 ◽  
Vol 8 (36) ◽  
Author(s):  
Sastry K. R. Jammalamadaka ◽  
K. V. N. M. Ramesh ◽  
J. V. R. Murthy
Keyword(s):  
Real Time ◽  
Market Risk ◽  
Risk Measurement

scholarly journals Market Risk Measurement

2020 ◽  
Author(s):  
Emese Lazar ◽  
Ning Zhang
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Preliminary Analysis ◽  
Risk Measures ◽  
Market Risk ◽  
Capital Requirements ◽  
Risk Measurement ◽  
Regulatory Framework ◽  
Bank Capital ◽  
Bank Capital Requirements

This chapter presents a preliminary analysis on how some market risk measures dramatically increased during the COVID-19 pandemic, with measures computed over longer horizons experiencing more pronounced effects. We provide examples when regulatory market risk measurement proved to be suboptimal, overestimating risk. A further issue was the large number of Value-at-Risk ‘exceptions’ during the first few months of the crisis, which normally leads to overinflated bank capital requirements. The current regulatory framework should address these problems by suggesting improvements to the calculation of risk measures and/or by modifying the rules which determine capital requirements to make them appropriate and realistic in crisis situations.

Market risk measurement and management in shipping markets

2021 ◽  
pp. 307-327
Author(s):  
Manolis G. Kavussanos ◽  
Dimitris N. Dimitrakopoulos
Keyword(s):  
Market Risk ◽  
Risk Measurement
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