corporate risk-taking decisions. Higher taxes reduce expected profits more for risky projects than for safe ones, as the … government shares in a firm's upside but not in its downside. Consistent with this prediction, we find that risk taking is … sensitive to taxes, albeit asymmetrically: the average firm reduces risk in response to a tax increase (primarily by changing …

Heterogeneously risk-averse individuals who lack access to formal insurance build and use relationships with each other … to manage risk. I study the formation of these relationships. I show that the composition of equilibrium groups under … reduction in aggregate risk may lead to an increase in risk borne by the most risk-averse individuals, as the least risk …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …

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 …

these rejections are in part a consequence of the presence of omitted risk factors which are associated with nonzero risk … model should partially reflect exposure to these omitted sources of systematic risk and,hence, should help explain expected … residual risk effect in the previous literature:(1) nonlinearity of the residual risk effect and (2) the inadequacy of the …

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an …

, analyze, and manage macroeconomic risk based on the theory and practice of modern contingent claims analysis (CCA). We … illustrate how to use the CCA approach to model and measure sectoral and national risk exposures, and analyze policies to offset … their potentially harmful effects. This new framework provides economic balance sheets for inter-linked sectors and a risk …

-contribution (DC) plans that typically contain a minimum benefit guarantee (DC-MB). Risk management techniques must be used to control … the S&P500. Calculations show that the true risk-adjusted value of unfunded guarantees in a realistic DC-MB plan equals 40 … 'basis risk' if they chose a non-standard portfolio. However, for large conversions from DB to DC-MB plans, in which there is …