risk

• - Delta risk (risk of changes of the value of a financial instrument due to a change in the value of the risk factor (first order effects)) Market risk: Risks - Vega risk (risk arising from changes of the volatility of the underlying of a non-linear instrument) by linearity - Curvature risk (including gamma risk) (risks not captured under delta and vega risk, including risk arising from second order effects of changes in the underlying and from other parameters of options)

Market risk: The risk that the institution will incur market/liquidity losses stemming from a concentration either from exposures to a single risk Market liquidity factor or from exposures to multiple risk factors that are correlated, or from instruments with high liquidity horizons and concentration

1. Oversigt

1.1 Referencer

1.2 Identificerede krav

1.3 Relaterede standarder

2. Identificerede krav

3. Relaterede standarder

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/