puzzle, first detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only … models to account for information spillovers based on bank business model similarities. To capture this channel, we propose … Eurozone. Incorporating the network information into the structural model for bank credit spreads increases explanatory power …

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 … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

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. …

find that risk-shifting interacts with regulatory arbitrage motives to explain how banks adjust their portfolios after … yielding but zero risk-weight sovereign bonds. The increase in banking system risk might therefore be even larger than the … decline in risk-weighted solvency ratios suggests. Distress in the banking system also feeds back onto bond prices. Bonds …

Dominance and further toDecreasing Absolute and Increasing Relative Risk Aversion Stochastic Dominance. The efficient sets …

that theory predicts an inversion when consumers are either risk or loss averse. In those cases, an increase in price … assumption of risk neutrality, this finding is consistent with models of consumer risk and/or loss aversion. Moreover, the model …Do the choices of consumers who search for a product's best price exhibit risk neutral, risk averse or loss averse risk …

, incomplete information, and risk aversion. The model predicts that an agent's risk aversion is correlated with her network … creating a link. However, the interplay of such uncertainty and risk attitudes has been neglected in the network formation … literature. We propose a dynamic network formation model that builds on standard microeconomic concepts of utility maximization …

presence of supervision by bank regulators. The model uses a principal-agent setting between a bank's owner and its risk …Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the … internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the …

risk externalities. It focuses on the relativemerit of price versus quantity rules, showing how they target different … incentives for risk creation.When banks differ in credit opportunities, a Pigovian tax on short-term funding is efficient in … containing risk and preserving credit quality, while quantity-based fundingratios are distorsionary. Liquidity buffers are either …