The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

Usually people make use of sensitivities in order to hedge a portfolio sensitive to interest rates risks. Actually the bond relative price change is approximated by the opposite of its duration times the interest rate change added by the convexity times the square of this interest rate change....

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of...