The risk (danger of financial loss) that arises from the possibility that the market may move or shift in an adverse or unfavorable manner. As such, this risk relates to changes in market variables including interest rates, prices, spreads, volatility, and so on. For example, an investor’s portfolio could be exposed to an adverse variation in costs or returns, resulting from downward or upward movements in market interest rates. In order to quantify market risk, measures such as VaR and the Greeks (sensitivities) are typically used.

Compare with market risk (systematic risk) in the context of investment and portfolios.