The new market risk

Since the late 1990s, the issue of market risk assessment has been viewed as largely settled. However, a recent statement from the Basel Committee is likely to change this comfortable presumption, writes David Rowe

For much of the 1990s, market risk was the central focus for financial risk management professionals. When the Switzerland-based Basel Committee on Banking Supervision approved the use of internal models for calculating regulatory capital, it set off a flurry of activity. Existing models had to be documented, product and geographic coverage had to be expanded, and procedures for recurring back-tests had to be established. All this gave rise to extensive discussions around the relative