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 …

with the Arrow/Romer approach to endogenous growth to analyze the interaction of risk, growth, and inequality, the latter …. Major results include that growth, inequality, and risk are positively related in our model, but we also identify a hump …-shaped relationship between welfare and risk, indicating a tradeoff relationship between risk-pooling and growth in the determination of …

as predictors. Third, we pool the forecasts in clusters to hedge against model risk and to evaluate the usefulness of …, and reducing tail risk. Using the same approach for return forecasts, however, does not lead to a consistent …

even if the risk-free asset return is correlated with other risky assets' returns. However, equivalence fails to hold on an … achieved only if a huge amount of information is available, making its implementation a hard task. -- capital gains ; risk …

turns out to decrease ex-ante individual welfare, unless restrictions are assumed on retirement behavior. Overall, risk … shown to yield a slight ex-ante welfare improvement from a purely risk-insurance perspective. This relative gain stems from … risk diversification across working-life wages in computing benefits. -- social security reforms ; uncertainty ; risk …

between funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by …