This paper criticises the standard methodology used to measure the importance of different channels of risk sharing in …

, analyze, and manage macroeconomic risk based on the theory and practice of modern contingent claims analysis (CCA). We … illustrate how to use the CCA approach to model and measure sectoral and national risk exposures, and analyze policies to offset … their potentially harmful effects. This new framework provides economic balance sheets for inter-linked sectors and a risk …

This paper investigates the effects of financial globalization on bank risk by highlighting the role of rollover risk …. We extend the canonical rollover risk model by allowing an “active” bank manager to choose excessive risk-taking or … systemic risk-shifting actions. Financial globalization is characterized by an increase in investors' opportunity cost, which …

This paper analyzes how sovereign risk affects government's ability to smooth domestic risk when policy tools … idiosyncratic risk, this distortion results in excessive consumption inequality in the cross-section of domestic agents and … excessive consumption volatility in the time series. Opening the capital account enables international risk sharing, but also …