Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …

today at the level of individual banks by managers, investors, and regulators. The basic analytical tool is the risk … to quantifying the effects of asset-liability mismatches within and across institutions. Risk-adjusted CCA balance sheets … facilitate simulations and stress testing to evaluate the potential impact of policies to manage systemic risk …

This paper makes three points regarding the proper measurement of the output of financial intermediaries. Two of them … concern the measurement of nominal financial output, especially banking output. First, we show that, to impute the nominal …;the user cost of fundsquot;) for the risk inherent in that corresponding financial transaction. Otherwise, nominal financial …

We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean … excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with …

discussion of dependency ratios. Two alternative measures of age are explored: mortality risk and remaining life expectancy. With …. In a separate application of age measurement, I examine the consequences of stabilizing labor force participation by age …

which financial markets were trying to allocate risk between heterogeneous agents when productive investment opportunities … are scarce. We begin by showing how heterogeneity in terms of risk tolerance can cause financial markets to propagate …

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an …

-contribution (DC) plans that typically contain a minimum benefit guarantee (DC-MB). Risk management techniques must be used to control … the Samp;P500. Calculations show that the true risk-adjusted value of unfunded guarantees in a realistic DC-MB plan equals … 'basis risk' if they chose a non-standard portfolio. However, for large conversions from DB to DC-MB plans, in which there is …