We provide an economic valuation of the riskiness of risk models. We estimate the impact of model risks (estimation and … specification) on VaR estimates. We find that integrating the model risk into the VaR computations implies a substantial correction … relies on a backtesting framework, for integrating the global model risk into VaR estimates …

This paper characterizes the stochastic deterioration resulting from taking a zero-mean financial risk in the presence … of correlated non-financial background risk. We show in particular that it has an equivalent stochastic order as well as … stochastic deterioration can be decomposed into a "correlation increase'' and a "marginal risk increase''. We further …

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 …