1,720,977 research outputs found
The Current Value of the Mathematical Provision: A Financial Risk Prospect
Full text linkThe paper addresses the question of the calculation of the current value of the mathematical provision
and moulds it in a deterministic and stochastic scenario, using a proper term structure of interest
rates estimated by means of a Cox-Ingersoll-Ross model. It provides a complete and original
year-by-year evaluation model for the business performance, and a closed solution for the current
evaluation of the reserve, together with a comprehensive insight into the dynamics of the reserve
connected to the selection of a defined term structure of interest rates. Moreover, the calculation of
the VaR of the mathematical provision is prospected as risk measure useful to appreciate also the
evaluation rate risk. Future research prospects concern the selection of the stochastic process used
to describe the dynamics of the interest rates and the possible managerial and regulatory application
of a VaR measure. The modelling has been applied, as an exemplification, to a life annuity
portfolio but it can be easily replicated for any kind of policy and any kind of portfolios even non
homogeneous
New rules to measure interest rate risk and a prolonged scenario of low market rates: evidence from Italian banks
No full textTo reflect changes in financial markets conditions, the Basel Committee on Banking Supervision has recently updated the standards to measure the interest rate risk in the banking book (IRRBB). The contribution of this paper to the prior literature and the current debate on the changes in the IRRBB regulatory framework is twofold: first, we investigate the impact of the new regulatory interest rate shock scenarios on banks’ risk positions; second, we detect banks’ exposure main determinants over a period that includes years of extremely low interest rates.
Our empirical evidence is referred to a representative sample of Italian banks from 2006 to 2017. Though risk positions do vary among banks and over time, we find that overall interest rate risk remains small even by applying the new shock scenarios, which seem to be able to partly address some of the issues of previous regulation. Banks’ risk position is sensitive to the level, the slope and to the curvature swings of the yield curve, especially in the second half of the period we consider. Finally, changes in banks’ asset-liability composition induced by the non-conventional monetary policy operations do play a major role in explaining their exposure to interest rate risk
Non-maturity deposits and bank's exposure to the interest rate risk: issues arising from the Basel regulatory framework
No full textBecause publicly available measures of deposit runoff risk are scarce, regulators’
models to measure interest rate risk in the banking book are based on very coarse
assumptions about the allocation of non-maturity deposits within the regulatory maturity
ladder. Using well-established statistical approaches, we address this issue by developing a methodology that considers deposits’ actual behavior in terms of both price sensitivity to changes in market rates and volume stability over time. Our model
extends the current knowledge of public measures of interest rate risk and can be
applied to publicly available data in a manner replicable by those outside of banking
institutions. The use of different allocation criteria affects not only the size of the risk indicator but also the nature of banks’ risk exposure and determines the risk inversion phenomenon, that is, banks exposed to an increase in interest rates can experience a reduction in their equity economic value if interest rates decrease. Overall, our results confirm the importance of accurate modeling of non-maturity deposits for estimating
interest rate risk in the banking book
Methodological problems in solvency assessment of an insurance company
No full textThe recent wide development and changes in insurance markets highlighted the necessity
to map out the solvency analysis in a more complete framework. The approach we present in the
paper comes up with an integrated analysis of the risk profile of an insurance business, taking into
account the actual European directives about solvency assessment. The aim of the paper is to construct
a methodology apt to incorporate properly the effect of the risk sources in calculating
mathematical provisions related to a portfolio of insurance policies
I servizi di investimento e il profilo di rischio della clientela: questionari di valutazione e aspetti tecnici di gestione
No full textQuesto lavoro approfondisce il tema del rischio nell’ambito della fornitura
di servizi di gestione del risparmio, proponendosi di o!rire un contributo su
due piani diversi. In primo luogo, lo studio analizza i lavori che hanno esaminato
le criticità e l’e"cacia della valutazione della tolleranza al rischio e!ettuata
tramite i tradizionali questionari di pro#latura. Successivamente, nella
prospettiva della relazione tra allocazione di portafoglio (e!ettiva assunzione
di rischio) e risposte ai questionari (tolleranza al rischio misurata ex ante), con
speci#co riferimento al caso di due fondi comuni di investimento azionari,
proponiamo di considerare l’applicazione di una metodologia che fa uso del
Conditional Value at Risk (CVaR) e impiega, nella selezione del portafoglio
ottimo di asset, una procedura di ottimizzazione robusta.
La valutazione delle performance dei due fondi mostra che l’approccio qui
proposto è in grado di assicurare combinazioni di rischio-rendimento migliori
rispetto a quelle ottenute dal modello usato dal management team della casa prodotto nel periodo considerato. Nell’ottica della distanza tra tolleranza al rischio
misurata ex ante tramite i questionari ed e!ettiva assunzione di rischio, le superiori
proprietà teoriche del CVaR e dell’ottimizzazione robusta sembrerebbero offrire una maggiore tutela dell’investitore nel caso di una sovrastima della tolleranza al rischio generata da una errata valutazione tramite questionario; allo stesso
tempo, de#nendo soluzioni di investimento caratterizzate da rischio minore, esse
attenuerebbero gli e!etti di eventuali incentivi degli intermediari a lasciare che
i clienti assumano più rischio di quanto non sia coerente con le loro preferenze.!is study examines risk-related issues in the context of asset management services
and provide a contribution on two di"erent levels. First, we analyse prior
works detecting the critical issues and the e"ectiveness of the risk tolerance assessment
carried out through traditional pro#ling questionnaires. Second, in the
perspective of the relationship between portfolio allocation (e"ective risk taking
decisions) and answers to questionnaires (risk tolerance measured ex ante), with
speci#c reference to the case of two equity mutual funds, this study proposes to consider
the application a methodology, which makes use of the Conditional Value
at Risk (CVaR) and employs, in the selection of the optimal portfolio of assets, a
robust optimization procedure.
!e performance evaluation of the two funds shows that the approach proposed
here is able to ensure better risk-return combinations than those obtained from the
model used by the management team of the company produced in the period considered. In view of the distance between risk tolerance measured ex ante through
questionnaires and actual risk taking behaviour, the superior theoretical properties
of both CVaR and robust optimization would seem to o"er greater investor
protection in the event of an overestimation of the risk tolerance due to a biased
assessment through the questionnaire; at the same time, by de#ning investment
solutions characterized by lower risk, they would mitigate the e"ects of any incentive to let clients to take a level of risk higher than the one which is consistent with
their preferences
Methodological problems in solvency assessment of an insurance company
Full text linkThe recent wide development and changes in insurance markets highlighted the necessity to map out the solvency analysis in a more complete framework. The approach we present in the paper comes up with an integrated analysis of the risk profile of an insurance business, taking into account the actual European directives about solvency assessment. The aim of the paper is to construct a methodology apt to incorporate properly the effect of the risk sources in calculating mathematical provisions related to a portfolio of insurance policies.Life insurance, financial risk, demographic risk, capital adequacy, reserves, conditional random processes
Risk profiles of life insurance business: quantitative analysis in a managerial perspective
No full text
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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