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 …

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 …

a simple extension of the long-run risk model …

an additional hedging motif driven by the interaction between real exchange rate risk and ambiguity aversion. What … matters is the long-run as opposed to the short-run risk. Domestic equity is a good hedge with respect to long-run real … exchange rate risk even when bonds are traded. The higher is the degree of ambiguity aversion, the stronger is the home bias …

against non-diversifiable labor income risk. We then use our our theory to link openness to trade to the level of …In simple one-good international macro models, the presence of non-diversifiable labor income risk means that country …