different sensitivities to macroeconomic risk, and this heterogeneity can be exploited to motivate dynamic rotation strategies … identification of business cycle regimes, using leading economic indicators and global risk appetite, can be used to construct long …

state. It is shown that the steady state of the PtDR is jointly influenced by consumption risk, risking sharing, and the … demographic structure. Among those consumption risk is the dominating factor in shaping the variations in the steady state of the …

This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define … various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the … inflation rate and examine its impact on pension liabilities under the aspect of model risk. Under consideration of different …

The long-run risk model introduced by R.Bansal and A.Yaron (2004) assumes the existence of a small predictable … persistence levels of shocks to consumption growth. In this paper the original long run risk model is extended introducing a novel …. Correspondingly the relations between equity return variations, cash flow risk and persistent fluctuations in the consumption mean are …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a … large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that …-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in …

and downside risk. Evidence from major advanced markets markets markets markets supports the supports the notion that … notion that notion that downside risk measured by value value value-at -risk ( risk (VaRVaRVaR) has significant information … moments of risk for for predict redict ing stock returns. stock returns. stock returns. stock returns. The e The e vidence …