Market risk

Market risk is the risk of losses in positions arising from movements in market variables like prices and volatility.[1] 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:

The capital requirement for market risk is addressed under a revised framework known as "Fundamental Review of the Trading Book" (FRTB).

  1. ^ Bank for International Settlements: A glossary of terms used in payments and settlement systems [1]

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