Since 2009, stock markets have resided in a long bull market regime. Passive investment strategies have succeeded during this low-volatility growth period. From 2018 on, however, there was a transition into a more volatile market environment interspersed by corrections increasing in amplitude...

The Basel Committee on Banking Supervision recently proposed fundamental changes in the regulatory treatment of financial institutions' trading book positions. Among others, a replacement of Value-at-Risk (α=0.99) by Expected Shortfall (α=0.975) for the quantification of market risk is...

We examine the efficiency of hedging a credit derivative portfolio with a contrary position in a credit index in the face of decreased correlations between single name CDSs and credit indices. The interest of such hedge comes from the fact that the calculation of the capital charge for CVA risk,...

Market risk reporting in banking has assumed such importance during the last decade. The purpose of this paper is to provide a methodology to evaluate the qualitative and quantitative profiles of the market risk disclosure in banking. We propose a hybrid methodology to assess whether or not...

This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the...

We study multidimensional Cram\'er-Lundberg risk processes where agents, located on a large sparse network, receive losses form their neighbors. To reduce the dimensionality of the problem, we introduce classification of agents according to an arbitrary countable set of types. The ruin of any...