We analyze a large data set of private banking portfolios in Switzerland of a major bank with the unique feature that parts of the portfolios were managed by the bank, parts were advisory portfolios. To correct the heterogeneity of individual investors, we apply a mixture model and a cluster...

The new regulation of the EU for financial products (UCITS IV) prescribes Value at Risk (VaR) as the benchmark for assessing the risk of structured products. We discuss the limitations of this approach and show that, in theory, the expected return of the structured product is unbounded while the...