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This paper deals with risk mitigation of interest rate margins related to a bank's demand deposits. We assume the demand deposit evolution to be related to both interest rates and some exogenous factor which can be interpreted as business risk or model risk. We subsequently discuss the trade-off between the alleviation of interest rate risk and the excess(More)
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management framework using a database of hedge funds returns chosen for(More)
This report deals with distortion risk measures and spectral risk measures and especially the issue of the optimisation of the allocation of a portfolio of assets under a constraint of risk. The theory of risk in microeconomics is a field which strongly concerns banking firms both in managing risky positions and in determining equities. The spectral risk(More)
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