On the market risk measurement and Basel Accords

95 Pages·2015·0English

MarketRisk VaRModels ARegulatoryDiscussion
On the market risk measurement and Basel
Accords
Jean-PaulLaurent HassanOmidiFirouzi
UniversitéParisI,PanthéonSorbonne LabexRefi1
September032015
AdvancedMethodsinMathematicalFinance
Angers
1. LaboratoryofExcellenceforFinancialRegulation
MarketRisk VaRModels ARegulatoryDiscussion
1 MarketRisk
2 VaRModels
3 ARegulatoryDiscussion
Equityrisk:theriskofchangingintheequityprices.
Foreignexchange(FX)risk:theriskofchanginginFX
rates.
Interestraterisk:theriskofchanginginterestratechange.
Commodityrisk:theriskofchangingincommodityprices
(crudeoilprice,silver,etc.).
Creditspreadrisk:theriskduetochangesincreditspread.
MarketRisk VaRModels ARegulatoryDiscussion
Market risk
Market risk is the risk that the value of a trading portfolio of a bank
will decrease (loss of a bank) due to the change in value of the
followingriskfactors.(FRTBOctober2013)
Foreignexchange(FX)risk:theriskofchanginginFX
rates.
Interestraterisk:theriskofchanginginterestratechange.
Commodityrisk:theriskofchangingincommodityprices
(crudeoilprice,silver,etc.).
Creditspreadrisk:theriskduetochangesincreditspread.
MarketRisk VaRModels ARegulatoryDiscussion
Market risk
Market risk is the risk that the value of a trading portfolio of a bank
will decrease (loss of a bank) due to the change in value of the
followingriskfactors.(FRTBOctober2013)
Equityrisk:theriskofchangingintheequityprices.
Interestraterisk:theriskofchanginginterestratechange.
Commodityrisk:theriskofchangingincommodityprices
(crudeoilprice,silver,etc.).
Creditspreadrisk:theriskduetochangesincreditspread.
MarketRisk VaRModels ARegulatoryDiscussion
Market risk
Market risk is the risk that the value of a trading portfolio of a bank
will decrease (loss of a bank) due to the change in value of the
followingriskfactors.(FRTBOctober2013)
Equityrisk:theriskofchangingintheequityprices.
Foreignexchange(FX)risk:theriskofchanginginFX
rates.
Commodityrisk:theriskofchangingincommodityprices
(crudeoilprice,silver,etc.).
Creditspreadrisk:theriskduetochangesincreditspread.
MarketRisk VaRModels ARegulatoryDiscussion
Market risk
Market risk is the risk that the value of a trading portfolio of a bank
will decrease (loss of a bank) due to the change in value of the
followingriskfactors.(FRTBOctober2013)
Equityrisk:theriskofchangingintheequityprices.
Foreignexchange(FX)risk:theriskofchanginginFX
rates.
Interestraterisk:theriskofchanginginterestratechange.
Creditspreadrisk:theriskduetochangesincreditspread.
MarketRisk VaRModels ARegulatoryDiscussion
Market risk
Market risk is the risk that the value of a trading portfolio of a bank
will decrease (loss of a bank) due to the change in value of the
followingriskfactors.(FRTBOctober2013)
Equityrisk:theriskofchangingintheequityprices.
Foreignexchange(FX)risk:theriskofchanginginFX
rates.
Interestraterisk:theriskofchanginginterestratechange.
Commodityrisk:theriskofchangingincommodityprices
(crudeoilprice,silver,etc.).
MarketRisk VaRModels ARegulatoryDiscussion
Market risk
Market risk is the risk that the value of a trading portfolio of a bank
will decrease (loss of a bank) due to the change in value of the
followingriskfactors.(FRTBOctober2013)
Equityrisk:theriskofchangingintheequityprices.
Foreignexchange(FX)risk:theriskofchanginginFX
rates.
Interestraterisk:theriskofchanginginterestratechange.
Commodityrisk:theriskofchangingincommodityprices
(crudeoilprice,silver,etc.).
Creditspreadrisk:theriskduetochangesincreditspread.
1 Standardizedapproach.
2 Internalmodel-basedapproach(IMB).
TwomainchangesunderBaselIIIframework:
1 MovingfromValueatRisk(VaR)toExpectedShortfall(ES).
2 Stressedcalibration.Usingthemostsevere12-monthstress
periodincomputingES.
MarketRisk VaRModels ARegulatoryDiscussion
Market risk and Basel III
Approachestoriskmeasurement:
2 Internalmodel-basedapproach(IMB).
TwomainchangesunderBaselIIIframework:
1 MovingfromValueatRisk(VaR)toExpectedShortfall(ES).
2 Stressedcalibration.Usingthemostsevere12-monthstress
periodincomputingES.
MarketRisk VaRModels ARegulatoryDiscussion
Market risk and Basel III
Approachestoriskmeasurement:
1 Standardizedapproach.