alternative measures of income uncertainty in a cross-section of households. In addition to the usual controls, risk aversion is …

We employ a life-cycle model with income risk to analyze how tax-deferred individual accounts affect households …' savings for retirement. We consider voluntary accounts as opposed to mandatory accounts with minimum contribution rates. We …

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … into account. The modelling framework is based on multivariate elliptical processes which model portfolio risk via sub …

This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non … macroeconometric model of the Bundesbank for Germany. Forecast intervals that integrate judgement on risk and uncertainty are obtained. …

; countercyclical risk ; aggregate shocks ; idiosyncratic shocks ; heterogeneous firms ; news shocks ; uncertainty shocks. …

; cross-sectional firm dynamics ; lumpy investment ; countercyclical risk ; aggregate shocks ; idiosyncratic shocks …

Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related … to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk … possible. In general, tests for macroeconomic risk forecast optimality tend to have at best moderate power given the …

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of … as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we … analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …