The Basel Accords represent landmark financial agreements for the regulation of commercial banks. The main purpose of the accords was to strenghten the soundness and stability of the international banking system by providing a minimum standard for capital requirements. In 2004, the Basel...

In this paper we analyze and evaluate a standard approach financial institutions use to calculate their so-called total economic capital. If we consider a business that faces a total random loss S over a given one-year horizon then economic capital is traditionally defined as the difference...

In this paper we examine and summarize properties of several well-known risk measuresthat can be used in the framework of setting solvency capital requirements for a risky business.Special attention is given to the class of (concave) distortion risk measures. We investigatethe relationship...

In this paper we investigate the approximations for the distribution function of a sum S of lognormal random variables. These approximations are obtained by considering the conditional expectation E[SΛ] of S with respect to a conditioning random variable Λ.The choice of Λ is crucial in order...

Even in case of the Brownian motion as most natural rate of return model it appears too difficult to obtain analytic expressions for most risk measures of constant continuous annuities. In literature the so-called comonotonic approximations have been proposed but these still require the...

We derive the optimal portfolio choice for an investor who behaves according to Cumulative Prospect Theory. The study is done in a one-period economy with one risk-free asset and one risky asset, and the reference point corresponds to the terminal wealth arising when the entire initial wealth is...

We derive the optimal portfolio choice for an investor who behaves according to Cumulative Prospect Theory. The study is done in a one-period economy with one risk-free asset and one risky asset, and the reference point corresponds to the terminal wealth arising when the entire initial wealth is...

We derive the optimal portfolio choice for an investor who behaves according to Cumulative Prospect Theory. The study is done in a one-period economy with one risk-free asset and one risky asset, and the reference point corresponds to the terminal wealth arising when the entire initial wealth is...

We derive the optimal portfolio choice for an investor who behaves according to Cumulative Prospect Theory. The study is done in a one-period economy with one risk-free asset and one risky asset, and the reference point corresponds to the terminal wealth arising when the entire initial wealth is...