Risk Management
Please note: this article is over 11 years old. If you feel this article is inaccurate or contains errors get in touch here . Many thanks, TMI

Market Risk Measurement in Context

by Eben Maré, Associate Professor, Department of Mathematics and Applied Mathematics,

Traditionally, market risk is defined as the risk of losses in on- and off-balance sheet exposures as a result of market movements. The market events surrounding the 2008-credit crisis force us to have a deeper understanding of market risk and its effects on our enterprise. The aim of this short article is to present the market risk process and to present its (frequently misunderstood) measurement metrics.

Risk management process

Figure 1 illustrates the market risk management process.