Market risk
European Union Electricity Market Glossary

 


 

 

 

"For investment firms, especially those with a trading book, market risk can be a fundamental feature of their business model.

 

Market risk is generally defined as the risk of losses in on-and-off-balance-sheet positions arising from movements in market prices.

 

The CRR defines the trading book as 'all positions in [MiFID] financial instruments and commodities held by an institution either with trading intent, or in order to hedge positions held with trading intent' – Article 4(86). 'Positions held with trading intent' means either 'proprietary positions and positions arising from client servicing and market making', 'positions intended to be resold short term', or 'positions intended to benefit from actual or expected short-term price differences between buying and selling prices or from other price or interest rate variations' – Article 4(85).

 

Market risk is generally referred to as trading book risk."

 

Report on Investment Firms, Response to the Commission's Call for Advice of December 2014, EBA/Op/2015/20

 

 

 

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Last Updated on Sunday, 10 July 2016 22:23
 

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