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Life-cycle risk-taking with personal disaster risk

Bagliano, Fabio C.; Fugazza, Carolina; Nicodano, Giovanna - 2021

or long-term unemployment, may occur during working years. Personal disaster risk alters lifetime ex-ante investment … characterizes rare disasters, results in lower risk-taking at the beginning of working life, and is crucial in order to match the …

Persistent link: https://www.econbiz.de/10012793436

Synthetic leverage and fund risk-taking

Fricke, Daniel - 2021

Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

Persistent link: https://www.econbiz.de/10012622826

Öffentliche Haushalte und Risiko

Bergmann, Eckhard; Kastrop, Christian; Steinheuer, Wilfried - 1990

Persistent link: https://www.econbiz.de/10000080680

Extreme risk interdependence

Polanski, Arnold; Stoja, Evarist - 2016

We define tail interdependence as a situation where extreme outcomes for some variables are informative about such outcomes for other variables. We extend the concept of multiinformation to quantify tail interdependence, decompose it into systemic and residual interdependence and measure the...