We define and study in this work a simple model allowing for a prudential valuation of solvency capital requirement while avoiding over-assessment specifically after market disruption. The main idea is to include a dampener component in charge of refining risk assessment after a market failure....

Market risk regulations adopted in response to recent crises aim to reduce financial risks. Nevertheless, a large number of practitioners feel that, if these rules seem to succeed in lowering volatility, they appear to rigidify the financial structure of the economic system and tend to increase...

In this article, we propose several quantization based stratified sampling methods to reduce the variance of a Monte-Carlo simulation. Theoretical aspects of stratification lead to a strong link between the problem of optimal L^2-quantization of a random variable and the variance reduction that...