Theoretical literature in finance has shown that quantifying the risk of financial time series amounts to measuring … their expected shortfall, also known as tail Value at Risk. Unfortunately, little empirical work has been devoted to the … problem of modeling and inference of such risk measures and, in particular, to their estimation. In this paper, we construct a …

When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are … an integral part of financial markets' organization. We assess the degree of risk sharing that can be achieved through … optimal risk sharing as long as markets are complete, default is prevented in equilibrium and intermediaries provide costly …

distribution based models. These results are relevant to risk management and help to link the theoretical discussion on loss …

studying an environment in which a trade-off between risk sharing and growth arises endogenously. Financial intermediaries … pay a cost. In equilibrium, the ability of intermediaries to share risk is constrained by the market. Moreover …, intermediaries invest less in the productive technology when they provide more risk-sharing. This creates a trade-off between risk …