This paper considers the meaning of domestic and international systemic risk. It examines scenarios that have been … adduced as creating systemic risk both within countries and among them. It distinguishes between the concepts of real and … pseudo-systemic risk. We examine the history of episodes commonly viewed either as financial crises or as evidencing systemic …

receives from gains and losses in wealth depends on his prior investment outcomes; prior gains cushion subsequent losses -- the …, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a … function of his investment performance. This makes prices much more volatile than underlying dividends and together with the …

between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk … controls for size, book-to-market, momentum, short-term reversals, liquidity, and skewness. Of particular interest, including …

-generational transmission of wealth. Financial markets are incomplete, exposing agents to both labor income and capital income risk. We show … that the stationary wealth distribution is a Pareto distribution in the right tail and that it is capital income risk …

, and we explore its implications for asset allocation. Changes in investment opportunities can alter the risk …-return tradeoff of bonds, stocks, and cash across investment horizons, thus creating a ``term structure of the risk-return tradeoff … rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist over long periods of time. In …

? While the answer is a clear no under certainty, it depends, under uncertainty, on whether public debt provides …

The paper illustrates how one may assess our comprehensive uncertainty about the various relations in the entire chain ….5 deg;C. The 99 percent confidence interval ranges from 3.0 deg;C to 6.9 deg;C. Uncertainty about socio-economic drivers of … climate change lie behind a non-trivial part of this uncertainty about global warming …

countries. Yet these liabilities are rarely measured, let alone properly adjusted for their risk. This paper shows, by example …, how modern asset pricing can be used to value implicit fiscal debts taking into account their risk properties. The example … is the U.S. Social Security System's net liability to working-age Americans. Marking this debt to market makes a big …