portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has … shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk … measurement: it is particularly interpretable as a special measure of shortfall risk. From that point of view VaR will be extended …

decline. While participating contracts embedding these guarantees are designed to share market risk across investor cohorts … when guarantees are not binding, we study how binding guarantees distort inter-cohort risk sharing. Using regulatory data …