Controlling and managing potential losses is one of the main objectives of the Risk Management. Following Ben Ameur and … Prigent (2007) and Chen et al. (2008), and extending the first results by Hamidi et al. (2009) when adopting a risk management … depending on the Value-at-Risk level of the covered portfolio on the French stock market. This dynamic approach is derived from …

the conditional multiples for some mainstream cases, including discrete-time rebalancing and an underlying risk asset …

Proportion Portfolio In- surance" (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to … traditional CPPI setting; we propose in this article an alternative to the standard CPPI method, based on the determination of a … conditional multiple. In this time-varying framework, the multiple is conditionally determined in order the risk exposure to …

The purpose of this paper is to analyze the gap risk of dynamic portfo- lio insurance strategies which generalize the … "Constant Proportion Port- folio Insurance " (CPPI) method by allowing the multiple to vary. We illustrate our theoretical … results for conditional CPPI strategies indexed on hedge funds. For this purpose, we provide accurate estimations of hedge …

-varying multiple as an alternative to the standard unconditional CPPI method, directly linked to actual risk management problematics …"Constant proportion portfolio insurance" (CPPI) is nowadays one of the most popular techniques for portfolio insurance …. This "ex ante" approach for the conditional multiple aims to diversify the risk model associated, for example, with the …

ways to manage risk of which one of the most important forms is interest rate risk. In this paper we use the mean … on how interest rate risk affects optimal bank investment in the loan and deposit market when derivatives are available …