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We study a dynamic stochastic general equilibrium model in which agents are concerned about model uncertainty regarding climate change. An externality from greenhouse gas emissions damages the economy's capital stock. We assume that the mapping from climate change to damages is subject to...
Persistent link: https://www.econbiz.de/10010937973
Persistent link: https://www.econbiz.de/10005361181
We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than for U.S....
Persistent link: https://www.econbiz.de/10005368242
portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …
Persistent link: https://www.econbiz.de/10005368265
"correlation breakdown." As a result, risk managers worry that their hedges will be useless when they are most needed, namely …. We make this point analytically, by way of several numerical examples, and via an empirical illustration. ; But, risk …
Persistent link: https://www.econbiz.de/10005368286
Risk management information systems are designed to overcome the problem of aggregating data across diverse trading … units. The design of an information system depends on the risk measurement methodology that a firm chooses. Inherent in the … design of both a risk management information system and a risk measurement methodology is a tradeoff between the accuracy of …
Persistent link: https://www.econbiz.de/10005368299
There have been numerous theoretical and empirical studies of the effect of exchange rate variability on the level of international trade. Most theoretical studies have concluded that under reasonable assumptions exchange rate variability ought to depress the level of trade. Empirical studies...
Persistent link: https://www.econbiz.de/10005368341
as the basis for estimates of the appropriate absolute level of economic capital allocations for portfolio credit risk …
Persistent link: https://www.econbiz.de/10005368373
Financial dealer firms have invested heavily in recent years to develop information systems for risk measurement. I … firms to assemble risk information. I look beyond questions of risk measurement methodology to investigate the implications … of risk management information systems. By examining several theoretical models of the firm in the presence of asymmetric …
Persistent link: https://www.econbiz.de/10005368529
High-powered incentives may induce higher managerial effort, but they also expose managers to idiosyncratic risk. If … managers are risk averse, they might underinvest when firm-specific uncertainty increases, leading to suboptimal investment … decisions from the perspective of well-diversified shareholders. We empirically document that when idiosyncratic risk rises …
Persistent link: https://www.econbiz.de/10009395278