Market risk management

Smarter risk management for portfolio optimization and risk oversight

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Scenario-based, Monte Carlo simulation framework to develop an Internal Model Approach under Basel III

Basel III introduces new market risk capital requirements under the Standardized Approach and the Internal Model Approach, which seeks to address wrong-way risk and adds to the Basel 2.5 requirements of an Incremental Risk Charge and Stressed VaR.

Market risk management solutions from IBM offer: