Over the last twenty years, the consensus view of systemic risk in the financial system that emerged in response to the … facing financial institutions. The dramatic rise of modern risk management has changed how the risks of financial … institutions are measured and how these institutions are managed. However, modern risk management is not without weaknesses that …

Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial … collapse of Long Term Capital Management in 1998, it has become clear that hedge funds are also involved in systemic risk … trading units that are organized much like hedge funds. As a result, the risk exposures of the hedge-fund industry may have a …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …

This paper studies asset pricing in a setting in which idiosyncratic risk in human capital is not fully insurable …, worker-firm relationships have endogenous durations owing to costly and unobservable effort. Uninsured tail risk in labor … earnings arises as a part of an optimal risk-sharing scheme. In the general equilibrium, exposure to the resulting tail risk …

risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative … difference between the power-law tail parameter and the coefficient of relative risk aversion, γ. The options-pricing formula …

. In addition to providing accurate measures of loss probabilities and credit risk, our models can also be used to analyze … and compare risk management practices and the drivers of delinquency across the banks. We find substantial heterogeneity … in risk factors, sensitivities, and predictability of delinquency across banks, implying that no single model applies to …

. Dynamically spread-weighting and risk-rebalancing positions improves performance. Equity, bond, FX, volatility, and downside …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …

countries, which were recommended by Athanasoulis and Shiller (2001) to facilitate risk sharing. For reasonable levels of belief … than risk sharing …While the traditional view of financial innovation emphasizes the risk sharing role of new financial assets, belief …