Market risks are risks to suffer losses caused by fluctuations of values of possessed assets (bond certificates, corporate stocks) due to fluctuations of various market risk factors such as interest rates and prices of securities.
In our company, Risk Management Department quantifies and manages market risks, and to complement management by quantification, it implements stress tests. Furthermore, to validate the reliability of the market risk quantification model we are adapting, we are also implementing back testing to compare the calculated VaR with the portfolio-fixed virtual profit and loss. |