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 …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

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 …

. We show that this “reputation inflation” is the equilibrium outcome of a model in which (a) inferences made by future …

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 …

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

-connected information sources, implying a pattern of “overshooting” beliefs. Additionally, in an experimental asset market, correlation …

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 … averaging strategies over single models or Bayesian type model averaging procedures …