strategy portfolio. The other half is due to a hidden risk factor, likely related to funding liquidity identified in Asness et …

Insurance induces a well-known tradeoff between the welfare gains from risk protection and the welfare losses from …, and stoplosses that alter moral hazard as well as risk protection relative to no insurance. I illustrate the properties of … inconsistent results. I develop a nonlinear budget set model of health insurance that allows for the calculation of both sides of …

with greater wealth-at-risk are more likely to hold health insurance. The implicit insurance from bankruptcy distorts the …This paper examines the implicit health insurance households receive from the ability to declare bankruptcy. Exploiting … insurance coverage decision. Using a microsimulation model, I calculate that the optimal Pigovian penalties are similar on …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …

This paper studies the cyclical nature of individual income risk using a confidential dataset from the U.S. Social … average earnings (which is not the case during expansions). Finally, we find that the cyclical nature of income risk is …

the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend …

This expository paper describes the factors that contribute to failure of health insurance markets, and the regulatory … discussed, along with premium support, enrollment mandates, guaranteed issue, and risk adjustment, as remedies for selection … likely to be key determinants of the performance of the health insurance exchanges that are a core provision of the PPACA of …

We study rollover risk and collateral value in a dynamic asset pricing model with endogenous debt financing by … borrowers face rollover risk if the belief dispersion between the borrowers and the pessimistic lenders widens after interim bad … presence of the rollover risk. We also highlight the role of interim trading which, by allowing creditors to sell seized …

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 …