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- A '''trading book''' in the context of financial regulation consists of ''financial inst Regulated financial services firms that have material trading books are subject to minimum capital requirements for [[Market Risk]]<ref>M2 KB (293 words) - 21:31, 1 November 2021
- ...k management, market risk is relevant for positions included in the banks' trading book as well as interest rate and foreign exchange positions in the whole b ...]] and [[Inflation Derivatives]]). The risk that the level, volatility and correlation of [[Inflation Index | inflation indices]] and [[Inflation Expectations]] w4 KB (657 words) - 16:14, 11 March 2024
- ...isk is generally considered to exhibity material dependency (See [[Default Correlation]]) * The active trading of credit obligations which is common in modern finance transforms credit r3 KB (422 words) - 16:32, 11 November 2021
- ...titative manner the maximum risk [[Exposure]] permitted for an individual, trading desk, business line etc. ** By Trading Desk6 KB (837 words) - 13:38, 5 February 2020
- ...s related to the offer to the public and/or admission of the securities to trading on a regulated market. * The conflation between correlation and causation4 KB (494 words) - 16:55, 11 November 2021
- ...y and the quantity held by the entity, even if the market's normal daily [[Trading Volume]] is not sufficient to absorb the quantity held and placing orders t ...re derived principally from or corroborated by observable market data by [[Correlation]] or other means (''market-corroborated inputs'').5 KB (687 words) - 09:28, 19 September 2021
- ...e of standalone losses, which is typically accomplished with a matrix of [[Correlation | correlations]]. ...ent levels of risk aggregation, e.g, to aggregate [[Market Risk]] in the [[Trading Book]]. Another use is to apply Var-Covar at the top level of risk aggregat2 KB (274 words) - 13:00, 16 April 2021
- ...very closely linked to the concept of ''dependence'' or to the degree of ''correlation'' between risks, namely the likelihood of a given risk materializing given ...context of managing a portfolio of financial assets with readily observed trading prices5 KB (678 words) - 16:31, 25 September 2021
- * (Where suitable) market / credit trading experience * Use of such aggregated metrics in limits monitoring and concentration / correlation analysis12 KB (1,494 words) - 20:11, 11 March 2024
- ...their equity values. An equity correlation matrix is a special case of a [[Correlation Matrix]] and thus inherits properties and shares in the limitations and iss The construction of an equity correlation matrix involves an number of steps and assumptions:11 KB (1,744 words) - 12:13, 10 June 2021
- ...will reduce the incentive for regulatory arbitrage between the banking and trading books.</p> ...ntroduction of a stressed value-at-risk requirement. Losses in most banks' trading books during the financial crisis have been significantly higher than the m3 KB (446 words) - 11:44, 26 March 2021
- ''Analysis of the trading book quantitative impact study''. ...dy, which assesses the impact of the revisions to the 1996 rules governing trading book capital. These revisions, which were originally published by the Commi2 KB (299 words) - 11:44, 26 March 2021
- ...will reduce the incentive for regulatory arbitrage between the banking and trading books.</p> ...ntroduction of a stressed value-at-risk requirement. Losses in most banks' trading books during the financial crisis have been significantly higher than the m4 KB (631 words) - 11:44, 26 March 2021
- ''Analysis of the trading book hypothetical portfolio exercise''. ...cond consultative paper of the Basel Committee's fundamental review of the trading book (October 2013).</p>4 KB (666 words) - 11:45, 26 March 2021
