, 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 …

This paper makes three points regarding the proper measurement of the output of financial intermediaries. Two of them … concern the measurement of nominal financial output, especially banking output. First, we show that, to impute the nominal … user cost of funds") for the risk inherent in that corresponding financial transaction. Otherwise, nominal financial output …

today at the level of individual banks by managers, investors, and regulators. The basic analytical tool is the risk … the effects of asset-liability mismatches within and across institutions. Risk-adjusted CCA balance sheets facilitate … simulations and stress testing to evaluate the potential impact of policies to manage systemic risk …

discussion of dependency ratios. Two alternative measures of age are explored: mortality risk and remaining life expectancy. With …. In a separate application of age measurement, I examine the consequences of stabilizing labor force participation by age …

We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean … excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with …