IDEAS home Printed from https://ideas.repec.org/p/bdi/opques/qef_921_25.html
   My bibliography  Save this paper

Market risk of securities held by Italian banks and insurance companies

Author

Listed:
  • Michele Leonardo Bianchi

    (Bank of Italy)

  • Federica Pallante

    (IVASS)

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.

Suggested Citation

  • Michele Leonardo Bianchi & Federica Pallante, 2025. "Market risk of securities held by Italian banks and insurance companies," Questioni di Economia e Finanza (Occasional Papers) 921, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_921_25
    as

    Download full text from publisher

    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2025-0921/QEF_921_25.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. T Dessa Glasser, 2013. "Leveraging data for financial stability monitoring," Journal of Banking Regulation, Palgrave Macmillan, vol. 14(3-4), pages 195-208, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Douglas da Rosa München & Herbert Kimura, 2020. "Regulatory Banking Leverage: what do you know?," Working Papers Series 540, Central Bank of Brazil, Research Department.

    More about this item

    Keywords

    value-at-risk; expected shortfall; granular data; banks; insurance companies;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdi:opques:qef_921_25. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bdigvit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.