Subject Developing global financial markets, emerging new types of securities, and growing speculative trading increase the requirements for market risk management in commercial banks and methods for its assessment. However, there is no comprehensive approach in the domestic practice to solve the problem under the increasing volume of securities business. These financial investments present the elements of market risk and, therefore, the need to work out a comprehensive approach to be tailored to changing conditions of stock exchange functioning. Objectives The objective of the study is to review the existing methods for assessing the market risks of commercial banks under the international practice of banking supervision and control. Methods Based on the study of achievements in the sphere of market risk assessment, works of Russian and foreign authors, the analysis of statutory instruments of the Russian Federation, the Basel Committee materials related to activities of commercial banks, the Bank of Russia, and banking supervision issues, we have defined a methodology to assess market risks of credit institutions. Results The performed analysis of techniques for market risk assessment enabled to identify their strengths and weaknesses. Commercial banks may apply the obtained results to manage risks. Conclusions Under unstable financial markets and instruments to ensure reliable operation of commercial banks, it is crucial to combine the techniques of the Bank of Russia for assessing market risks and the Basel Committee recommendations.
Keywords: market risk, simulation, Monte Carlo method, limitation
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