Market risk is the possible loss of value of an asset or liability due to variation in exchange rates, interest rates, credit spreads or basis spreads. Market risk capital is the largest component of the Bank’s required capital. The Bank uses value-at-risk (VaR and stressed  5  6  This section draws on Fraser (2013) “The Reserve Bank’s capital adequacy framework”.
But CCPs need to provide still greater transparency to their clearing members and to the public. The G-20’s central clearing mandate shifted a significant amount of activity and control away from dealers to CCPs. With this shift, CCPs took on the responsibility of managing risks in a way that is transparent to the clearing members who are subject to the decisions of the CCP.