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Market Risk Modeling Framework Under Basel

In: Commercial Banking Risk Management

Author

Listed:
  • Han Zhang

    (Wells Fargo & Co.)

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.

Suggested Citation

  • Han Zhang, 2017. "Market Risk Modeling Framework Under Basel," Palgrave Macmillan Books, in: Weidong Tian (ed.), Commercial Banking Risk Management, pages 35-52, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-59442-6_2
    DOI: 10.1057/978-1-137-59442-6_2
    as

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