This paper estimates market risk measures (value-at-risk and expected shortfall) relating to the exposures of Italian banks and insurance companies to debt securities, equity securities, and fund shares. The estimates are conducted on a daily basis for the period 2016-23, using market data for the main risk factors and supervisory information for individual securities held in the portfolios of banks and insurance companies.
The main factors affecting the overall market risk of banks' and insurance companies' securities portfolios are interest rate risk and credit risk. Compared with banks, insurance companies are more exposed to financial instruments with more volatile returns but benefit more from diversification due to their higher share of investments in private bonds and fund shares. Overall, their market risk is comparable to that of banks.
