these instruments in the banking in- dustry which is heavily exposed to credit risk. However, while recent literature mainly …

firm's uncertainty about which of the subjective beliefs govern the price risk. Ambiguity preferences are modeled by the … plausible subjective distribution of the price risk. Within this framework, we derive necessary and sufficient conditions under … ambiguity aversion when ambiguity prevails. In the case that the price risk is binary, we show that ambiguity and greater …

We address the issue of risk aversion in a competitive equilibrium when some buyers engage in learning and information … risk aversion on the equilibrium outcomes of the model, including the amount of information released by the market. We show … that risk aversion has an effect on the market outcomes but not on the flow of information. In particular, an increase in …

This paper develops a tractable dynamic model of competition between two risk-averse portfolio managers who attempt to … equilibrium portfolio policies, and show that a risk tolerant manager decreases, and a risk intolerant increases, her portfolio … risk due to competition. Contrary to the standard result without competition, a higher risk aversion could well incentivize …

performing agent must beat the second best to receive the winner prize. We analyze a tournament with two risk averse agents …

This paper investigates whether greater competition increases or decreases individual bank and banking system risk … bank deregulation, we provide robust evidence that greater competition increases both individual bank risk and a bank … associated with higher stand-alone risk of individual banks, greater sensitivity of a bank's downside equity risk to system …