Earnings at risk

Earnings at risk (EaR) and the related cash flow at risk (CFaR) [1] [2] [3] are measures reflecting the potential impact of market risk on the income statement and cash flow statement respectively, and hence the risk to the institution's return on assets and, ultimately, return on equity. EaR measures the impact on net interest income due to movements in foreign exchange and interest rates; while CFaR measures possible shortfalls in cash flow due to these. Both are calculated under simulation as for Value at Risk.

## References

1. ↑ The benefits of CFaR and EaR for corporate risk management, bloomberg.com
2. ↑ Interest rate risk – earnings at risk, abrigo.com
3. ↑ Earnings at Risk, bloomsburycollections.com

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Financial risk and financial risk management

Categories|

| Credit risk|

* Concentration risk
* Consumer credit risk
* Credit derivative
* Securitization

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Market risk|

* Commodity risk (e.g. Volume risk, Basis risk, Shape risk, Holding period risk]], Price area risk)
* Equity risk
* FX risk
* Margining risk
* Interest rate risk
* Volatility risk
* Liquidity risk (e.g. Refinancing risk)

Operational risk|

* Operational risk management
* Legal risk
* Political risk
* Reputational risk
* Valuation risk

Other|

* Profit risk
* Settlement risk
* Systemic risk

Modeling|

* Market portfolio
* Modern portfolio theory
* RAROC
* Risk-free rate
* Risk parity
* Sharpe ratio
* Sortino ratio
* Value-at-Risk (VaR) and extensions Profit at risk, Margin at risk, Liquidity at risk

Basic concepts|

* Diversification
* Expected return
* Hazard
* Hedge
* Risk
* Risk pool
* Systematic risk
* Financial law

* Financial economics
* Investment management
* Mathematical finance

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