Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …

conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be …

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

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

We propose and implement a procedure to dynamically hedge climate change risk. To create our hedge target, we extract … hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures … managing climate risk …

a simple extension of the long-run risk model …

aggregate risk. We propose a theory to explain these risk exposures. We study a financial accelerator model where entrepreneurs … inefficiently high risk exposure for entrepreneurs …