Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a … on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …

Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a … on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …

problem is equivalent to the mean-variance (MV) and conditional value-at-risk (CVaR) problems. Then we solve analytically the … two-asset problem of the QLA investor for a risk-free and a risky asset. We find that the optimal QLA investment in the … the risk-free rate. Finally, we implement the trading strategy of a QLA investor who reallocates her portfolio on a …

We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive … inside Europe we document substantial differences. Furthermore, average risk aversion is strongly correlated with the share … explainable by household characteristics as well as differences in risk aversion and a remainder. We employ the unexplained part …

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 …