The Bank of Japan document "市場リスク管理態勢の整備" (Developing a market risk management framework) cites the definition in the Financial Inspection Manual. It counts as market risk not only the risk of loss from changes in the value of assets and liabilities but also the risk of loss from changes in the earnings they generate. Its main examples are interest rate risk (loss from moving interest rates), foreign exchange risk (loss on foreign-currency assets and liabilities when exchange rates move), and the risk that the prices of stocks and similar assets fall. The size of market risk is measured with indicators such as VaR and BPV (DV01).
Market risk
- Japanese
- 市場リスク
- Last reviewed
- September 26, 2026
This is a draft, shown for review before publication.
Market risk is the risk of loss when movements in markets such as interest rates, exchange rates, and stock prices reduce the value of the assets and liabilities you hold.
Related terms
Explained in detail
Pages that use this term
- Zero Rates and Forward Rates
- Bootstrapping a Yield Curve
- Probability and Statistics Basics
- Random Walks and Brownian Motion
- How Regional Banks Use Derivatives
- What Is a Derivative?
- Basket Options
- Non-Deliverable Forwards (NDF)
- Overview of Exotic Equity Products
- Hedging Exotic Products
- Sensitivities: DV01, Vega and Key Rate Sensitivities
- Expected Shortfall
- Stress Testing
- Backtesting
- What Is Counterparty Credit Risk?
- Credit Limit Management
- Counterparty Risk and XVA
- Operational Risk in Derivatives
- Booking Errors and Confirmation Mismatches
- Risk-Weighted Assets (RWA)
- P&L Attribution
- Capital Valuation Adjustment (KVA)
- The Client Business Flow
- Front, Middle and Back Office Roles
- Trade Capture and Approval
- Daily Valuation and P&L Sign-Off
- Daily Risk Management Operations
- Regulatory Reporting
- Front-to-Back System Architecture
- Market Data Management
- Intragroup Back-to-Back Trades
- Fair Value Measurement: IFRS 13, ASC 820 and the Fair Value Hierarchy
- Japan's Fair Value Measurement Standard
- CVA and DVA in Accounting
- Disclosures in the Notes
- Transfer Pricing for Cross-Border Trades
- Electronic Trading Platforms such as SEFs
- New Product Approval
- Limit Frameworks
- Supervisory Guidelines of the Financial Services Agency
- EMIR
- PRIIPs
- The Basel Framework and Derivatives
- The Fundamental Review of the Trading Book (FRTB)
- The Standardized Approach for Counterparty Credit Risk (SA-CCR)
- The CVA Risk Capital Charge