Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk … exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently …

The macro risk premium measures the threshold return for real activity that receives funding from savers. We base our … argument in this paper on the relationship between the macro risk premium and the growth of financial intermediaries' balance … sheets. The spare capacity of their balance sheets determines the intermediaries' risk appetite, which in turn determines the …

This paper shows that the risk-bearing capacity of securities brokers and dealers is a strong determinant of risk … premia and the volatility of returns in commodity markets. I measure risk-bearing capacity as the fraction of broker … of broker-dealers is to provide insurance against commodity price fluctuations. I estimate cross-sectional prices of risk …

Loss aversion has been used to explain why a high equity premium might be consistent with plausible levels of risk … similarly to investors with high risk aversion. But if so, should these agents not perceive larger gains from international … diversification than standard expected-utility preference agents with plausible levels of risk aversion? They might not, because …

intermediaries drive the business cycle by way of their role in determining the price of risk. In this framework, balance sheet … quantities emerge as a key indicator of risk appetite and hence of the "risk-taking channel" of monetary policy. We document …

in the information set. This "residual risk" can be fully diversified at a zero risk premium. We show that potential … welfare gains from risksharing depend on a weighted average of the variance of residual risk at different horizons. Three …

associated with higher risk and lower risk-adjusted profits. These results suggest little obvious diversification benefit from …

dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces …

We define CoVaR as the value at risk (VaR) of financial institutions conditional on other institutions being in … distress. The increase of CoVaR relative to VaR measures spillover risk among institutions. We estimate CoVaR using quantile … regressions and document significant CoVaR increases among financial institutions. We identify six risk factors that allow …