Abstract
Since the financial crisis of 2007–2008, market risk management has become more important than ever. Many advanced risk measures and capital charge for market risk are proposed in a comprehensive capital framework. This chapter focuses on the market risk modeling framework under Basel. The chapter starts with Basel II to set the major framework of market risk management. Then, its revision in Basel 2.5 is illustrated. Two widely used market risk measures and their pros and cons are explained. Finally, the latest revised minimum capital requirement for market risk published in January 2016 is briefly documented.
The view expressed in chapter represents only the personal opinion of author and not those of Wells Fargo & Co.
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Zhang, H. (2017). Market Risk Modeling Framework Under Basel. In: Tian, W. (eds) Commercial Banking Risk Management. Palgrave Macmillan, New York. https://doi.org/10.1057/978-1-137-59442-6_2
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DOI: https://doi.org/10.1057/978-1-137-59442-6_2
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Publisher Name: Palgrave Macmillan, New York
Print ISBN: 978-1-137-59441-9
Online ISBN: 978-1-137-59442-6
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