CHAPTER TEN

Managing Market Risk—Banks’ Investment Portfolio

CHAPTER STRUCTURE

Section I Basic Concepts

Section II Measuring Market Risk with VaR

Section III Banks’ Investment Portfolio in India—Valuation and Prudential Norms

Chapter Summary

Test Your Understanding

Topics for Further Discussion

Annexures I (Case study), II

KEY TAKEAWAYS fROM THE CHAPTER
  • Understand the primary objectives of banks’ investments.
  • Know the functions of the bank treasury.
  • Learn about conventional and contemporary treasury products.
  • Understand risks associated with the treasury.
  • Learn some tools for market risk measurement such as the VaR and the Expected Shortfall (ES), and how international regulations use them.
SECTION I
BASIC CoNCEPTS

We have seen in the chapter ...

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