facilitate intergenerational risk-sharing. In addition to the primary benefit of improved time diversification, this form of risk … results of the paper is that better intergenerational risk-sharing does not reduce the risk born by each generation. Rather …

This paper explores the introduction of collective risk-sharing elements in defined contribution pension contracts. We … consider status-contingent, age-contingent and asset contingent risk-sharing arrangements. All arrangements raise aggregate …

We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs … resulting from an increased risk exposure. We find that when the shock distribution displays “fat” tails, extreme segmentation …

In higher education, pure credit market funding leads to underinvestment due to insufficient risk pooling, while pure …

How to incorporate hard-to-measure assets into the wealth tax? We analyze the effect of an optimal wealth tax on risk …, actually larger than the risk-free market rate of return. The market equilibrium and a proportional tax on the market portfolio … will ensure an efficient risk allocation between private and public consumption and across projects. Failing to apply an …

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

the risk of maturity transformation. First, we show that fluctuations of the future profitability of banks' portfolios … risk. When economic activity is reaching its peak, expected profitability is relatively high and spreads are low; during a …

Review. In a mean-variance framework the optimal tax on risk-free returns is zero with constant returns to scale in private … returned as a stochastic lump sum, the optimal tax on excess returns is irrelevant with only aggregate risk, and approaches 100 …% if there is also idiosyncratic risk …