, focusing on short-term gains but risking further losses if rates rose. Instead of hedging the market value risk of bank asset … assets but left the vast majority of their long-duration assets exposed to interest rate risk. Data from call reports and SEC … filings shows that only 6% of U.S. banking assets used derivatives to hedge their interest rate risk, and even heavy users of …

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 …

We develop a dynamic model of firm investment under uncertainty that captures firms' risk attitude using quantile …-quantile of its value next period. In our framework, τ ∈ (0, 1) parametrizes the firm's attitude toward downside risk. The model … value of future marginal profits -- investment depends directly on the firm's risk attitude. We further integrate our model …

The impact of exposure to a major unanticipated natural disaster on the evolution of survivors' attitudes toward risk … to take on risk relative to those not directly exposed to the tsunami. These differences are short-lived: starting a year … later, there is no evidence of differences in willingness to take on risk between the two groups. These conclusions hold for …

, but are, at best, weakly correlated. Third, WTA and WTP strongly relate to other aspects of risk preferences. The …

at risk. Overall, these calculations suggest that recent declines in bank asset values very significantly increased the … accounting for loan portfolios held to maturity. Marked-to-market bank assets have declined by an average of 10% across all the …-- unlike insured depositors, uninsured depositors stand to lose a part of their deposits if the bank fails, potentially giving …

household's attitudes toward risk, as shown in Swanson (2012). In this paper, I analyze how frictional labor markets affect that … analysis. Household risk aversion (as measured by willingness to pay to avoid a wealth shock) is higher: 1) in countries with … in Europe are large enough to play a substantial contributing role to risk aversion in those countries. Nevertheless …

This paper introduces the concept of standard risk aversion. A von Neumann-Morgenstern utility function has standard … risk aversion if any risk makes a small reduction in wealth more painful (in the sense of an increased reduction in … expected utility) also makes any undesirable, independent risk more painful. It is shown that, given monotonicity and concavity …

-- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in … general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and … plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not …