withdrawal of employers and external insurers as risk bearers of systematic financial and longevity risks. Partly because of … pension: the Personal Pension with Risk sharing (PPR). By unbundling and valuing the investment, (dis)saving, insurance and … risk-sharing functions of pensions, PPRs allow risk management and (dis)saving to be customized to the specific features of …

theaters and trades, why they run, what determines the risk, whether to return to the theater or trade when the dust settles …, and how much to pay for assets (or tickets) in light of this risk. These theoretical considerations shed light on the …

increasing, or conversely its willingness to provide term lending is decreasing, in its rollover risk over the term of the loan …

hedger, guided by the traditional minimum-variance criterion, aims at reducing the risk of a non-tradable asset or a … generalized "Greeks," familiar in risk management applications, as well as retaining the intuitive features of their static …

We develop a dynamic model of investment, cash holdings, financing, and risk management policies in which firms face …-flow sensitivity of cash display a more realistic behavior than in prior models with financing frictions. In addition, risk management …

This article introduces a method to quantify the effect of a firm’s strategic choices on the risk profile of its … profits at different horizons. We combine a demand system for differentiated products with counterfactual paths of risk … factors. Prices, costs and quantities respond endogenously to the counterfactual state of the world. The draws on risk factors …

In this Paper, I first provide a simple unifying approach to static Mean-Variance analysis and Value at Risk, which …

This article presents an application of extreme value theory to compute the value at risk of a market position. In … to compute the VaR of a position decomposed on risk factors. …

-performance relationship by manipulating her risk exposure. In a dynamic portfolio choice framework, we show that as the year-end approaches … risky asset despite its positive risk premium. Under multiple sources of risk, with both systematic and idiosyncratic risks … present, we show that optimal managerial risk shifting may not necessarily involve taking on any idiosyncratic risk. Costs of …