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...

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 tradeoff...