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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
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    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2025-0921/QEF_921_25.pdf
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    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

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