Market risk of securities held by Italian banks and insurance companies

Michele Leonardo Bianchi () and Federica Pallante ()
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Michele Leonardo Bianchi: Bank of Italy
Federica Pallante: IVASS

No 921, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: In this paper, we study the market risk of the securities portfolios of Italian banks and insurance companies. We use granular information on securities holdings extracted from the statistical data collected by Banca d'Italia and IVASS in the years 2016 to 2023 from each Italian bank or insurer. We consider value-at-risk and expected shortfall as market risk measures. These risk measures are calculated using a historical simulation approach. For all institutions located in Italy, whether or not they have validated internal models for market risk or not, portfolio profits and losses are computed through simple operations and without the need for complex calibration algorithms. After analysing the differences in the composition of the securities portfolios of Italian banks and insurers, our findings show that despite insurers exhibiting higher exposure to equities and funds, the market risk of banks and insurers remains comparable.

Keywords: value-at-risk; expected shortfall; granular data; banks; insurance companies (search for similar items in EconPapers)
JEL-codes: G21 G22 G32 (search for similar items in EconPapers)
Date: 2025-04
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_921_25

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