Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …

government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …

We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two …

its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and … the risk of changing market conditions. We show that investors trade only in two portfolios: the market portfolio, and a … hedging portfolio, which allows them to hedge the dynamic risk. This implies that trading volume of individual assets exhibit …

risk capital starting August 8th. Our simulations point to two unwinds---a mini-unwind on August 1st starting at 10:45am …