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

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation …

In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … correlation in wildfire events (within-deal correlation), leads to a lower exposure to wildfire events. These quantifiable metrics …

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 …

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 …

In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice … capitalization stocks. We observe similar premia in markets outside the US …

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 …

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 …

across assets, the model generates large risk premia even for assets with stable fundamentals. Very small assets may comove … endogenously and hence earn positive risk premia even if their fundamentals are independent of the rest of the economy. I provide … its risk premium …