undiversifiable labor income risk. Optimal portfolios are internationally diversified while positive correlation between domestic … with a small amount of buffer stock saving, while exchange rate risk makes foreign investments less appealing to risk …

labor income risk and stock-market participation costs. In contrast to the initial motivation, we find that the model is not …

simultaneously matching stock market participation and individual asset holdings. The high risk premium is driven by incomplete risk … negligible impact on the risk premium, contrary to the results of models where it is imposed exogenously. …

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate … endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …

We show that a life-cycle model with realistically calibrated uninsurable labor income risk and moderate risk aversion … risk aversion. Households with low risk aversion smooth earnings shocks with a small buffer stock of assets and … consequently most of them (optimally) never invest in equities. Therefore, the marginal stockholders are (endogenously) more risk …

assumptions. We accomplish this by relying on the plausible joint frictions of immediacy risk (excution risk) and asset …

In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second … order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are … consistent with first order stochastic dominance, overall risk measures are not, even if we restrict ourselves to two …