Measuring and managing market, credit and Op risk [7]

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Bullet points include: In principle could use any other value metric adhering to relevant axioms, but in practice only a small number make economic sense Most natural one is to focus on ‘market consistent’ valuations, i.e. how the asset or liability would be valued if a suitably deep, liquid and transparent market did exist in the relevant asset or liability C.f. Solvency II explicitly aims to be market consistent Although important to note the elements of subjectivity that any regulatory framework is likely to introduce Especially for liability types that are not traded in a deep, liquid and transparent market

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