IDEAS home Printed from https://ideas.repec.org/a/agr/journl/v05(534)(supplement)y2009i05(534)(supplement)p56-64.html
   My bibliography  Save this article

Market Risk Assessment Of A Bank. Methods And Measurements

Author

Listed:
  • Dumitru D. Popescu

    (Bucharest Academy of Economic Studies)

Abstract

The paper aims at substantiating the market risk assessment of a bank's portfolio that is based on three main indicators, which are used to define exposure limits: – the 99%"Value at Risk" (VaR) method, – a stress-test measurement based on a timeframe shock-type indicator – complementary limits(sensitivity, nominal, concentration or holding period, etc)which ensure coherency between the total risk limits and the operational limits used by the front office, that also allow for the control of risks that are only partially detected by VaR or stress test measurements.

Suggested Citation

  • Dumitru D. Popescu, 2009. "Market Risk Assessment Of A Bank. Methods And Measurements," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 5(05(534)(s), pages 56-64, May.
  • Handle: RePEc:agr:journl:v:05(534)(supplement):y:2009:i:05(534)(supplement):p:56-64
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/suplimente/Simpozion-29-31.05.2009_en.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:05(534)(supplement):y:2009:i:05(534)(supplement):p:56-64. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mircea Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.