Market Risk
Overview
Market risk for a bank is the risk that the bank faces due to the changing prices of its assets and liabilities due
to market movements. Although a price can change through a change in its credit quality, market risk
generally refers to movements due to a change in market interest rates. That is, credit is separated out
as credit risk.
Asset Liability Management
Asset Liability Management
is the management of the assets and liabilities of the bank in response to market risk.
Measuring Market Risk
Market risk for a bank is synonymous with
Fixed Income Risk.
However, banks will sometimes use additional types of analytics to analyze the banks interest rate risk that is
not used by fund companies or other traders.
