, analyze, and manage macroeconomic risk based on the theory and practice of modern contingent claims analysis (CCA). We … illustrate how to use the CCA approach to model and measure sectoral and national risk exposures, and analyze policies to offset … their potentially harmful effects. This new framework provides economic balance sheets for inter-linked sectors and a risk …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …

climate risk beliefs. We exploit two types of idiosyncratic belief shocks: (i) instances when fund advisers experience local … hedge portfolios for aggregate unemployment and house price risk …

highlights the dynamic interaction between heterogeneous investors. In the model, long-term investors have higher risk …-taking capacity, but face a portfolio adjustment cost; liquidity traders have lower risk-taking capacity, but can trade freely. Our …-term investors requires liquidity traders to absorb the imbalance, who demand a higher risk premium that creates excessive bond price …

and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model …

In absence of insurance contracts to share risk, public information is a double-edged sword. On the one hand, it … empowers self-insurance as agents better react to shocks, reducing risk. On the other hand, it weakens market-insurance as … common knowledge of shocks restricts trading risk. We embody these two faces of information in a single general …

previously considered in existing quantitative macro studies of housing finance: aggregate business cycle risk, and a realistic …, the boom in house prices is entirely the result of a decline in the housing risk premium. Third, low interest rates cannot …