This note aims to arrive at a standardized taxonomy for market risk data to better communicate information around recent regulatory guidance for market risk management and capital charge computation. We aim to build a common nomenclature to be used between management, analytics teams, and the IT departments deriving from the regulatory deﬁnitions.
Market data includes the prices, rates, or quotes of traded instruments in the marketplace (exchange-traded instrument - cleared through CCP, or bilateral trades through the OTC mechanism). Examples include swap rates term structures, rate indices (SOFR, EONIA rates, CDS spreads, commodity prices, volatility quotes, and futures prices.
Associate Director - Market Risk Analytics & FRTB
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