The market risk designates the risk of losses in commercial positions during unfavorable price history. This risk cannot be eliminated by diversification, it sinks however usually with increasing plant horizon.

Classification

One knows market risk roughly into several Unterkategorien in medals:

• Course risk. With securities, which are acted as for example shares at a stock exchange, the possibility exists that the price of a security develops negatively and the investor suffers thereby losses.
• Risk of change of interest. The value of loans depends on the Zinsniveau. If the interest rises, usually the courses sink in particular from long-current loans.
• Wechselkursrisiko. If the prices of securities are expressed in stranger currencies, the possibility comes to the two first mentioned risks that the rate of exchange changes and loses the Investment thereby in value.

Directly to the market risk against it the following kinds of risk are not counted:

• Operational risk. The risk that it comes due to a human or a technical failure to losses. For example computer losses can with banks to the fact lead that the bank cannot implement orders correctly any longer and it comes by it to claims for damages.
• Credit risk. The risk that a creditor is not any more able, to settle its commitments.
• Liquidity risk. The risk that a security can be sold only with delay or only with course anticipated payments, because it is acted not regularly in sufficiently high numbers of items.

Market risk in the context of the Portfoliotheorie

After the Portfoliotheorie is usually possible it to eliminate a part of the course risk by diversification. One speaks also of the unsystematical risk. The systematic risk however all securities carry together and it can therefore not by diversification be further reduced. An investor, who wants to invest into course-risky securities, must accept this risks thus. The Capital ate Pricing Model (CAPM) knows a market risk, arbitrage the Pricing Model knows in principle several general factors of risk.

An investor can only escape the market risk, by investing its money into not risky securities. That is essentially loans with short running time and time deposits. Since the market risk cannot be diversified, by the investors for this a risk premium is required

Market risk and adjustment

In the original Basler own capital funds agreement of 1988 only a security of credit risks was intended by own capital funds for banks. An additional supporting of market risks was added only 1996. In the new Basler own capital funds chord, which is to apply in the European Union starting from end of 2006, is intended apart from a security of market risks also a security of operational risks.

Own resources supporting

Net positions form the Bassis of the own resources supporting of Marktrisikien. The determination takes place by means of standard techniques or own risk model. The market price risk depends thereby on the extent of the price fluctuation and the amount of the open position (net position). The product of net position and maximally for price fluctuations possible held results in a measure for the maximally possible loss.

A closed position is secured, if the running time (Fristigkeit) is identical the aktivischen and passivischen Positon.

The measurement takes place on the basis the active and liabilities positions of the balance, with which open positions can be identified. The book value of demands and commitments gives information over the height of the future payments; this becomes more difficult with material assets. Derivatives are seized not in the balance, must enter however nevertheless net positions. Option business is seized in principle 1 by means of the delta factor.

Articles in category "Market risk"

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