pricing kernel with all underlying risk factors, we decompose the expected stock return into four risk premiums related to the …

augmented with anticipated shocks. Accounting for agents' expectations atthe business cycle horizon results in aggregate risk … aggregate risk …

decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions … deriving the network risk model, the portfolio covariance matrix is decomposed to obtain the network-driven component of the … both the variance and covariance decompositions. In a third step, using quantile regressions, the proposed network risk …