This paper considers a world in which pension funds may default, the cost of the associated risk of default is not …

This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations … public pension fund management, we find evidence that funds chose greater overall asset - liability portfolio risk following …, pension plans take more risk when they have greater representation by plan participants on their Boards of Trustees …

influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic …, decision making. We find that preventive measures, such as Value-at-Risk constraints, tend to decrease the gains to dynamic …

a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks … cointegration-based VAR (EC-VAR) model, successfully account for the crosssectional variation in equity returns at both short and … of cointegration-based long run consumption risks for financial markets …

The non-tradability of human capital is often cited for the failure of traditional asset pricing theory to explain … the form of labor contracts). We derive wages endogenously as part of a dynamic equilibrium in a production economy. Risk … facilitate this risk sharing because it is there that firms offload the labor market risk they assumed from workers. In effect …

In this paper, we develop a new model for government cost-benefit analysis in the presence of risk. In our model, a … "social risk management" motive: projects that ameliorate market failures when household marginal utility is high are … appealing. The second friction is that government financing is costly because of tax distortions. This creates a "fiscal risk …

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 …

The foreign exchange risk premium in an exchange rate target zone regime with devaluation/realignment risks is derived … devaluation/realignment risk, is taken into account. The risk premium is then the sum of two separate risk premia, arising from … real and nominal exchange rate premia are considered. The real and nominal risk premia from movements within the band are …

adjusted to take account of future asset price risk. Some empirical calculations suggest that these adjustments are large, and …