We exploit the US Survey of Consumer Finances from 1998 to 2010 to study households' portfolio risk. We compare alternative measures of ex-ante risk, based on a financial portfolio including deposits, bonds and stocks, or a broader portfolio also including real estate, business wealth and...

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...

We study capital requirements for bounded financial positions defined as the minimum amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability test. We allow for general acceptance sets and general eligible assets, including defaultable bonds. Since the...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

In this paper, we study an optimal investment problem under joint initial-time and intermediate-time Value-at-Risk regulations and a portfolio insurance (PI) constraint on terminal wealth faced by a defined-contribution pension fund manager. The objective is to maximize the expected utility from...

In modern frameworks for financial regulation such as Basel III, IV as well as Solvency II, financial institutions are regulated to maintain a certain level of capital to prepare for potential future losses. In this paper, we take the perspective of a regulator who designs regulatory capital...

In this paper, we propose a simple dynamic mortality model to ft and forecast mortality rates for measuring longevity and mortality risks. This proposal is based on a methodology for modelling interest rates, which assumes that changes in spot interest rates depend linearly on a small number of...

This article uses the Over-lapping Generation model to study individuals' optimal decision on consumption, insurance, investment, and education expenses. We first discuss the individuals' demand for insurance considering intergenerational transfer payments and education expenses. We show that...