both mortality and interest-rate risk, on both assets and liabilities. It builds a classical risk-return frontier and shows … that hedging strategies–such as the transfer of longevity risk–may increase the overall risk while decreasing expected …This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account …

determined by stress tests. The main sources of risk lie in the credit risk arising from exposures to Central, Eastern, and … Southeastern Europe (CESE) and the Commonwealth of Independent States (CIS), indirect credit risk from foreign currency lending …, and credit risk from domestic lending. The Austrian banking systems exhibits ample liquidity. In-depth discussions with …

consequences for cost of capital, funding patterns, interconnectedness, and risk migration. …

assess the sensitivity of banks and insurance companies to single-factor shocks to risk types affecting solvency and … liquidity position of institutions. The mission recommends that future STs should be risk-based and that macroprudential …