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 …

Assessing the importance of uninsurable wage risk for individual financial choices faces two challenges. First, the … identification of the marginal effect requires a measure of at least one component of risk that cannot be diversified or avoided …. Moreover, measures of uninsurable wage risk must vary over time to eliminate unobserved heterogeneity. Second, evaluating the …

Despite facing significant uncertainty about their lifespans and health care costs, most retirees do not buy annuities …

involuntary or accidental. Moreover, parameter estimates using subjective mortality risk perform better in predicting out … influenced more strongly by individual-level beliefs about mortality risk than by group level mortality risk …

priced risk …

We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … role for "good uncertainty". Options for nonfinancials are particularly important for spanning macro risks and good …

This paper explores optimal fiscal policy in an overlapping-generations general-equilibrium model under uncertainty and …

enough to approximate Kahnenman and Tversky's prospect theory and that for certain parametric values will yield the expected …

and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model … economy make decisions on a weekly frequency and face shocks which display time-varying uncertainty. Simulations reveal that …

economic uncertainty, along with investor preferences for early resolution of uncertainty, as an important economic … prices, including the equity premia, risk-free rate and volatility puzzles …