Advanced Concerts in Capturing Market Risk: A ... - ERM Symposium
Advanced Concerts in Capturing Market Risk: A ... - ERM Symposium
Advanced Concerts in Capturing Market Risk: A ... - ERM Symposium
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Background<br />
Agenda<br />
Current <strong>Market</strong> <strong>Risk</strong> Rule for US bank hold<strong>in</strong>g<br />
companies<br />
<strong>Risk</strong>-based capital for market risk<br />
Approaches <strong>in</strong> model<strong>in</strong>g specific risk<br />
Challenges <strong>in</strong> captur<strong>in</strong>g specific risk<br />
<strong>Risk</strong> factors captured and not captured <strong>in</strong> VaR models<br />
Revised <strong>Market</strong> <strong>Risk</strong> Rule<br />
Conclusions<br />
<strong>Advanced</strong> Concepts <strong>in</strong> Captur<strong>in</strong>g <strong>Market</strong> <strong>Risk</strong>: A Supervisory Perspective, Chicago, IL, March 14, 2011<br />
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