Before revision:  In our non-concave optimization problem, we find that with a not too strict regulation for any VaR-constraint with an arbitrary risk level, there exists an ES-constraint leading to the same investment strategy, which shows on some level the ineffectiveness of the ES-based  regulation  .
After revision:  We find that both VaR and ES-based regulation can effectively reduce the probability of default for a surplus-driven financial institution. However, the liability holders' benefits cannot be fully protected under either VaR- or ES-based regulation .