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...