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 …

household's attitudes toward risk, as shown in Swanson (2012). In this paper, I analyze how frictional labor markets affect that … analysis. Household risk aversion (as measured by willingness to pay to avoid a wealth shock) is higher: 1) in countries with … in Europe are large enough to play a substantial contributing role to risk aversion in those countries. Nevertheless …

-- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in … general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and … plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not …

This article develops two points. First, insurance against the risk of legal change is largely unavailable, primarily …

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 …