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This disparity reflects the diverging interests of the regulator and firm which our proposed risk measure attempts to bridge. In the absence of portfolio rebalancing, define the amount of additional riskfree asset required to ensure the portfolio η becomes acceptable as α ≥ 0. 3) and depends on η but is written as α rather than α(η) for notational simplicity. 5) The first condition ensures that η , when added to η, is capable of constituting an acceptable portfolio. A solution for η that satisfies the first condition is provided in section 4.

Observe that the addition of riskfree capital increases a portfolio’s payoffs in all scenarios, even those for which the original portfolio already has nonnegative values. Indeed, the portfolio payoff increases in scenarios that are not even considered by the regulator. Therefore, the addition of riskfree capital is a very conservative approach to risk management, one suitable from the perspective of a regulator but not firms. 5 investigates the pricing of portfolio insurance, a security which only increases payoffs in scenarios that prevent the portfolio from being acceptable.

1974) “Residual Life Time at Great Age”, Annals of Probability, 2: 792–804. Basel Committee on Banking Supervision (2004) International Convergence of Capital Measurement and Capital Standards – A Revised Framework. Basel Committee Publications No. 107, The Bank for International Settlements, Basel, Switzerland. , Hübner, G. P. (2005) “Measuring and Managing Operational Risk in the Financial Sector: An Integrated Framework”, Working Paper, University of Liège, Belgium. Cramer, H. (1928) “On the Composition of Elementary Errors”, Skandinavisk Aktuarietidskrift, 11: 141–80.

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