. Theoretical analysis using a variety of standard models tends to suggest that the aggregate response to savings incentives is … response of savings to changes in the rate of return …

Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U ….S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This … paper shows that standard U.S.-based disaster risk model assumptions found in the literature lead to counterfactual …

exposure to latent risk factors, IPCA will identify the corresponding latent factors. If no such factors exist, IPCA infers … that the characteristic effect is compensation without risk and allocates it to an "anomaly" intercept. Studying returns …

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values … assumptions invoked by existing methodologies (such as normality or i.i.d. returns). The Conditional Value at Risk or CAViaR model …

data on both the aggregate stock market and aggregate labor income. The paper finds that aggregate stock market risk is the … main factor determining excess stock and bond returns, but that the price of stock market risk does not equal the … coefficient of relative risk aversion as would be implied by the static Capital Asset Pricing Model …

labor income risk, calibrating a (wrong) representative agent model results in overstating the equilibrium riskfree rate and … in understanding the equilibrium equity premium if the utility function exhibits decreasing absolute risk aversion and … advanced conjecture that non-traded risk contributes to the solution of the riskfree rate and equity premium puzzles …

in other financial assets. This paper investigates how this aspect of Social Security risk varies across groups of … across groups in this component of Social Security risk, as captured by the sensitivity of individual-level income growth to … changes in the SSWI. This element of risk is most important for women, especially women who are young-to-middle aged and with …

and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model …

Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time … variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are …