BFM: Concepts and Practice · Part B: Risk Management

Chapter 11: Market risk

How banks measure, limit and hedge the risk of loss from moving rates and prices, and the capital they hold for it.

Open Chapter 11 in the e-book The book and its prices

Buyers of the e-book, or of the print copy, which includes it, read the whole chapter. Everyone can read the free sample, pages 1 to 24 of the e-book.

In this chapter

11.1What market risk isp. 153
11.2Sensitivitiesp. 154
11.3Value at riskp. 155
11.4Beyond VaR: ES, back-tests, stressp. 156
11.5Limits, control and capitalp. 157
Exam traps and quick checksp. 158
Practice: 16 questions in three roundsp. 159
Answers, with every wrong option explainedp. 161
Make it stickp. 163
Chapter 11 on one pagep. 164

Corrections and updates

None for this chapter so far. Every correction to the book, and any rule that changes after its date, is listed on the errata page.