their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …

, contracts, or licenses that involve ensuing payoff uncertainty for the winning bidder. The distribution of the random payoff is … common knowledge, except that bidders have private degrees of aversion to downside-risk. In this model, the optimal FPA … risk or risk aversion generally leads to lower equilibrium bids. …

. Real option theory argues that research projects with conditional phases have option-like risk and return properties, and … portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option … are different from unconditional projects. We show that although the risk of a portfolio always depends on the correlation …

In recent years the Value at Risk (VaR) concept for measuringdownside risk has been widelystudied. VaR basically is a … summary statistic that quantifies theexposure of an asset or portfolio tomarket risk, or the risk that a position declines in … be helpful to study market value risk -- proxied by shareprice risk. We develop amethodology to decompose the overall VaR …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …

government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …

Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate … execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between … risk and return in optimal execution should reflect the same risk preferences as in ordinary investment. The paper develops …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …