Market risk: Difference between revisions

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1.  
1. ''Risk management.''


Market risk in the Capital Asset Pricing Model (CAPM) means the element of total risk which cannot be eliminated by holding a diversified portfolio of investments.  
(MR).


Under the CAPM, only market risk is rewarded with additional returns.
The risk of losses or other adverse effects resulting from adverse changes in market prices or from unfavourable market conditions including market disruption or new and burdensome regulation.


Market risk is often quantified by Beta, its designation in the CAPM.


''Also known as Systematic risk or Non-diversifiable risk.''
2. ''Financial reporting - international accounting standards.''


IFRS 7 defines market risk as the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market prices.


2.  
Market risk comprises three types of risk: currency risk, interest rate risk and other price risk.


More generally, the risk of losses resulting from adverse changes in market prices or in general market conditions.
 
3. ''Capital asset pricing model.''
 
In the Capital asset pricing model (CAPM) 'market risk' is an alternative name for systematic risk.




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* [[Beta]]
* [[Beta]]
* [[Capital asset pricing model]]
* [[Capital asset pricing model]]
* [[Credit risk]]
* [[Currency risk]]
* [[Financial market risk]]
* [[Financial reporting]]
* [[Fractal markets hypothesis]]
* [[Fractal markets hypothesis]]
* [[IFRS 7]]
* [[Interest rate risk]]
* [[International Accounting Standards]]
* [[Interest Rate Risk in the Banking Book]]  (IRRBB)
* [[Legal risk]]
* [[Liquidity risk]]
* [[Market price risk]]
* [[Market price risk]]
* [[Market risk premium]]
* [[Market Risk in the Banking Book]]  (MRBB)
* [[Market risk premium]]  (MRP)
* [[Operational risk]]
* [[Price risk]]
* [[Risk]]
* [[Risk]]
* [[Risk management]]
* [[Specific risk]]
* [[Specific risk]]
* [[Systematic risk]]


[[Category:Manage_risks]]
[[Category:Manage_risks]]

Latest revision as of 14:41, 10 August 2022

1. Risk management.

(MR).

The risk of losses or other adverse effects resulting from adverse changes in market prices or from unfavourable market conditions including market disruption or new and burdensome regulation.


2. Financial reporting - international accounting standards.

IFRS 7 defines market risk as the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market prices.

Market risk comprises three types of risk: currency risk, interest rate risk and other price risk.


3. Capital asset pricing model.

In the Capital asset pricing model (CAPM) 'market risk' is an alternative name for systematic risk.


See also