International risk-sharing has far-reaching implications both for economic policy and for basic research in economics …. When countries do not share risk, individuals in those countries experience fluctuations in their consumption levels that … are undesirable and possibly unnecessary. This paper extends and refines the study of international risk-sharing in two …

exposure to latent risk factors, IPCA will identify the corresponding latent factors. If no such factors exist, IPCA infers … that the characteristic effect is compensation without risk and allocates it to an "anomaly" intercept. Studying returns …

the unpriced risk. We apply our methodology to hedge out unpriced risk in the Fama and French (2015) five-factors. We find …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …

A Bayesian consumer who is uncertain about the quality of an information source will infer that the source is of higher … which firms slant their reports toward the prior beliefs of their customers in order to build a reputation for quality. Bias …

rate of return by saving abroad. Bulow and Rogoff conjecture that, even under condition (ii), in more general reputation … models with multiple relationships and spillover across them, reputation may support debt. This paper shows what is needed …

firm invests, and the market shuts down. Learning introduces reputation incentives such that a fraction of entrants do … invest. If the market operates with spot prices, simple regulation can enhance the role of reputation to induce investment …