The Firm-Value Risk Model combines the technology of actuarial optimal dividends models with insights regarding financial frictions from financial economics, especially as they apply to risk transfer in (re)insurance firms. This paper illustrates, by numerical solution of a set of case studies,...

The recent evolution of prudential regulation establishes a new requirement for banks and supervisors to perform reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We propose a reverse stress test methodology based on a...

Counterparty risk measurement integrates two sources of risk: market risk, which determines the size of a firm's exposure to a counter party, and credit risk, which reflects the likelihood that the counterparty will default on its obligations. Wrong-way risk refers to the possibility that a...

The aim of the paper is to interpret a simulation on two portfolios (equity & commodities) of several thousands data. The returns and the volatility are analysed through basic statistics (mean, standard deviation, skewness, histogram) and the value-at-risk. The VaR is calculated using different...

How can risk of a company be allocated to its divisions and attributed to risk factors? The Euler principle allows for an economically justified allocation of risk to different divisions. We introduce a method that generalizes the Euler principle to attribute risk to its driving factors when...