We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … widely-applied spectral Arrow-Pratt-measure is not a consistent measure of Arrow-Pratt-risk aversion. A decision maker with a … decision maker with a smaller spectral Arrow-Pratt-measure. We further show how a proper measure of Arrow-Pratt-risk aversion …

riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …

Introduction / Markus Brunnermeier and Arvind Krishnamurthy -- Measurement and disclosure. Challenges in identifying … and measuring systemic risk / Lars Peter Hansen ; Regulating systemic risk through transparency: tradeoffs in making data … public / Augustin Landier and David Thesmar -- Risk exposures. Systemic risk exposures: a 10-by-10-by-10 approach / Darrell …