making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

builds distribution risk into a real business cycle model, hypotheses on the determinants of the relative volatility of …

.S. stock market wealth. Fluctuations in entrepreneurs' hunger for risk could therefore help explain time variation in the … fluctuations in proprietary income, is highly correlated with cross-sectional measures of idiosyncratic entrepreneurial risk and … as entrepreneurial risk has become more easily diversifiable in the wake of U.S. state-level bank deregulation …

notion of a certainty equivalent beta. We show that its term structure is not constant and that, for short maturities, it … equals the expected beta. If the expected beta is larger than a threshold (which is negative and large in absolute value in … all realistic calibrations), the term structure of the certainty equivalent beta is increasing and tends to its largest …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and … help explain the strength of the relation. We find evidence that the relation is weaker for firms with more growth options …

We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries … boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … habit formation model allows to interpret these results: sorting currencies on past consumption growth is akin to sorting …

has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the … the futures price by the estimated risk premium, a common problem is that there are as many measures of the market … expectation as there are estimates of the risk premium. We propose a general solution to this problem that allows us to select the …