We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … with increasing option expensiveness, higher risk premia for a wide range of financial assets, deterioration in funding …

distributions of risks give rise to components of equilibrium prices that differ from the risk prices widely used in asset pricing …

risk is needed to jointly price returns at multiple horizons in these models …

maximizes the utility of the representative agent at that time. We embed a number of features including tail risk, the potential …-impact outcomes, our calibration allows us to decompose the SCC into the expected damages and the risk-premium. In contrast to most … only a small risk premium, the deadweight loss in utility associated with delaying the implementation of optimal pricing by …

long-run risks. With risk aversion of 4.7, the model matches major facts about asset prices, consumption, and dividends …

analyze endogenous (1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the …, (7) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis …

. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …

We study aggregate lapsation risk in the life insurance sector. Using the regulatory reporting of historical lapse … risk factors that explain a large fraction of the common variation in lapse rates of the 30 largest life insurance … examine the heterogeneity in risk factor exposures based on policy and policyholder characteristics. Young policyholders with …