This paper introduces quantitative risk management and scenario analysis framework for asset-liability management of stable value fund wraps. Stable value funds are guaranteed return employee benefit investment options, with currently over $400 billion USD of assets under management. These...

We investigate capital requirements based on Value at Risk (V@R) and Average Value at Risk (AV@R) when the bank's econometric model only approximately describes the true, unknown return generating process, as is often the case in practice. We provide a simple formula for such capital...