The risk/return trade‐off has been a central tenet of portfolio management since the seminal work of Markowitz [1952]. The basic premise, that higher (expected) returns can only be achieved at the expense of greater risk, leads naturally to the concept of an efficient frontier. The efficient...

Standard market risk optimization tools, based on assumptions of normality, are ineffective for evaluating credit risk. In this article, the authors develop three scenario optimization models for portfolio credit risk. They first create the trading risk profile and find the best hedge position...

In recent years, several methodologies for measuring portfolio credit risk have been introduced that demonstrate the benefits of using internal models to measure credit risk in the loan book. These models measure economic credit capital and are specifically designed to capture portfolio effects...

Insurers are competing by adopting product innovations that provide the insured with integrated coverage for actuarial and financial risks. This article compares the contract structures of blended life policies between the insurance markets in Italy and the United Kingdom within the context of...