Households can rely on private savings or on public unemployment insurance to hedge against the risk of becoming … risk on households’ equity holdings. When incorporating long-term unemployment, the US-equity share drops. This negative … significantly alter portfolio decisions. We show that different responses of portfolios to unemployment risk can be attributed to …

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of … as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we … analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …

(2005). We extend it by unemployment risk using Markov chains to model the transition between different employment states … systems as those established in the EU are able to offset the negative impact of unemployment risk on the portfolio …

against a global preference shock. For reasonable parameter values, strengthening trade linkages induce the risk …

risk-free assets and risky portfolios like other mutual funds. But their distinctive features set them apart from the …

risk-free assets and risky portfolios like other mutual funds. But their distinctive features set them apart from the …

Well-functioning risk-sharing arrangements are essential for the shock absorbing capacity and resilience of an economy … far from equal across countries, implying that risk sharing remains an important issue. This paper discusses the different … forms and channels of risk sharing and reviews the main arguments in favour and against the development of different forms …