typically borrow short to lend long. This is known as duration mismatch. To mitigate the risks, banks are required to hold … year, or one breach expected per thousand years. The capital needed to provide this protection is known as Value at Risk or … outliers given static risks and not enough on the possibility that risks themselves are perceived to surge. For long duration …

extent to which individual real estate asset return characteristics caused by marketing period risk disappear in a large …, diversified real estate portfolio. The effects of marketing period risk are found to disappear in the limit with growth in the … nonsystematic risk alone, in which case both approach zero. The marketing period risk factor (MPRF), representing the ratio of ex …

, particularly when households have few liquid assets. Motivated by these findings, I embed endogenous unemployment risk in a two … for aggregate shocks due to a flight-to-liquidity that occurs when unemployment risk rises. This mechanism implies that …