that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net … increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … the guarantee-extending parties to "walk away". I derive the optimal risk management rule in such a framework and show …

Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics. We … show instead that transactions deposits help banks hedge liquidity risk from unused loan commitments. Bank stock …-return volatility increases with unused commitments, but the increase is smaller for banks with high levels of transactions deposits …

What do academics have to offer market risk management practitioners in financial institutions? Current industry … assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …-time risk tracking in very high-dimensional situations -- impose strict limits on model complexity. Hence we stress parsimonious …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …

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 … transitory shocks and induce higher output volatility, albeit with a higher mean. We then show how this simple heterogeneous …

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an … but firms can mitigate damages. We estimate a large reproduction number R0 and transmission volatility for COVID-19. Using …

-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 …

government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …

banks to pursue safer investments in low-risk government securities …