Shortfall risk

Shortfall risk

The risk of falling short of any investment target.

Shortfall Risk

The risk that an investment's actual return will be less than the expected return, or, more properly, the return needed to meet one's investment goals.
References in periodicals archive ?
Our results show that purchasing gap insurance can generally increase the hedging effectiveness in multiple ways by reducing basis risk, thus increasing shareholder value and, at the same time, lowering shortfall risk.
Unlike other liquid alternative offerings, which focus on a single strategy, Paradigm Liquid Alternatives consists of three diversified portfolio approaches-the Fixed-Income Complement, Equity Complement and Portfolio Diversifier, an all-purpose, "all-season" model designed to minimize a portfolio's overall shortfall risk.
NORWICH Union yesterday warned of a shortfall risk in nine out of 10 of their mortgage endowment policies.
Policy providers were accused of not warning of the shortfall risk and many have had to compensate the policyholders.
Nonetheless, a soft bullet payment includes the implicit shortfall risk during the accumulation period, so that investors may receive the remaining principal payments over an additional period (usually one to three years) after the maturity date (Fabozzi and Yuen, 1998).
The committee also considered factors such as pool size, interest shortfall risk and a bond's credit sensitivity to a significant slowdown in prepayment rates.
The Impact of Operational Risk on an Insurer's Pricing, Shortfall Risk, and Solvency Capital Requirements
The S&P MATRIX Target Risk Index attempts to maximize the return per unit of risk through its allocation to the three underlying indices subject to the following: weights in the Index must equal one, and the weight for each component should be within the specified range of 10% to 50%; the risk contribution of an individual strategy must be less than or equal to 50% of the total portfolio variance; and the realized shortfall risk, after optimization, must not be greater than the maximum specified shortfall risk.
However, some principal proceeds have been allocated to pay class D interest since the March 2009 payment date, highlighting the interest shortfall risk to these notes.
Since the PGF always guarantees the beneficiary the payment of [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] at T, there is no shortfall risk for the beneficiary.
Our research shows that the equity duration metric addresses many of the arguments cited for moving away from equities such as, the desire to match plan assets with liabilities, and control shortfall risk in a low interest rate environment.
We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable situation where the shortfall risk increases by a merger.