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S. M. Mohaimen Roll: 136 Serial: 15 MBA 13TH Batch Department of Banking University of Dhaka
Market risk is defined as the risk of losses in on and off-balance sheet positions arising from movements in market prices
On balance sheet assets funded in foreign currency will be subject to both credit and market risk capital requirement.
Derivatives, unless they are contracted to hedge positions in the banking book will be subject to both credit and market risk capital requirement.
Repurchase/reverse repurchase, securities lending held in trading book will be subject to both credit and market risk capital requirement.
Maturity Method
In the maturity method, long or short positions in debt securities and other sources of interest rate exposures, including derivative instruments, are slotted into a maturity ladder comprising 13 time-bands (or 15 time-bands in case of low coupon instruments).
Duration Method
Under the duration method, banks may use a more accurate method
of measuring all of their general market risk by calculating the interest sensitivity of
each position separately.
Horizontal disallowances