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 … conditional on current information, we propose a new approach to quantile estimation which does not require any of the extreme …

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 …

a simple extension of the long-run risk model …

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 …

prices, including the equity premia, risk-free rate and volatility puzzles …

We analyze the returns to education in a life-cycle framework that incorporates risk preferences, earnings volatility …