Despite increased need for top-down stress tests of financial institutions, performing them is challenging owing to the absence of granular information on banks’ trading and loan portfolios. To deal with these data shortcomings, this paper presents a market-based structural top-down stress...

Does historical performance helps predict future performance of portfolio managers and does persistence in performance exist? These are some of the recurring questions that used to be raised in this part of financial literature. Different methods since the 60's have been proposed but many of...

Necessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aRα is subadditive. However, for any α one can construct portfolios for which V aRα is superadditive.

In this paper we study distributionally robust constraints on risk measures (such<br/>as standard deviation less the mean, Conditional Value-at-Risk, Entropic Value-at-Risk) of decision-dependent random variables. The uncertainty sets for the discrete probability distributions are defined using...

We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk measure and its sensitivities can be computed in practice for relevant temperature stochastic processes. This is in particular useful for measuring the potential impact of...

The banking systems that deal with risk management depend on underlying risk measures. Following the recommendation of the Basel II accord, most banks have developed internal models to determine their capital requirement. The Value at Risk measure plays an important role in computing this...

We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk measure and its sensitivities can be computed in practice for relevant temperature stochastic processes. This is in particular useful for measuring the potential impact of...

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the...

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

In the renewal risk model, we study the asymptotic behavior of the expected time-integrated negative part of the process. This risk measure has been introduced by Loisel (2005). Both heavy-tailed and light-tailed claim amount distributions are investigated. The time horizon may be finite or...