Market risk

Categories of
Financial risk
Credit risk
Settlement risk Concentration risk Sovereign risk Default risk
Market risk
Interest rate risk Inflation risk Currency risk Equity risk Commodity risk Volatility risk Systemic risk
Liquidity risk
Refinancing risk Deposit risk Margining risk
Investment risk
Model risk Execution risk Valuation risk
Business risk
Reputational risk Operational risk Country risk Political risk Legal risk Moral hazard
Profit risk
Non-financial risk
Stranded asset
v t e

Market risk is the risk of losses in positions arising from movements in market variables like prices and volatility.^[1] There is no unique classification as each classification may refer to different aspects of market risk. Nevertheless, the most commonly used types of market risk are:

• Equity risk, the risk that stock or stock indices (e.g. Euro Stoxx 50, etc.) prices or their implied volatility will change.
• Interest rate risk, the risk that interest rates (e.g. Libor, Euribor, etc.) or their implied volatility will change.
• Currency risk, the risk that foreign exchange rates (e.g. EUR/USD, EUR/GBP, etc.) or their implied volatility will change.
• Commodity risk, the risk that commodity prices (e.g. corn, crude oil) or their implied volatility will change.
• Margining risk results from uncertain future cash outflows due to margin calls covering adverse value changes of a given position.
• Shape risk
• Holding period risk
• Basis risk

The capital requirement for market risk is addressed under a revised framework known as "Fundamental Review of the Trading Book" (FRTB).