In this paper we show that the wildly popular Holt and Laury (2002) risk preference elicitation method confounds … estimates of the curvature of the utility function, the traditional notion of risk preference, with an estimate of the extent to … that our new method yields significantly different levels of implied risk aversion than the Holt and Laury task even after …

Decisions of investing in sovereign assets involve both risk and ambiguity. Ambiguity arises from unknown elements …

between systemic risk and information asymmetries – hence the justification for greater focus on information channels as well …

breakdown of interbank lending. This paper theoretically models how Knightian uncertainty over banks risk exposures may have … banks aggregate risk exposures. Based on 2) and 3), ex-ante and ex-post “transparency initiatives” are proposed. Their …

past gains and losses on investors’ risk aversion. The paper first presents a simple model examining how heterogeneous … changes in investors’ risk aversion affects portfolio decisions and stock prices. Second, the paper shows empirically that …

This Chicago Fed Letter summarizes the presentations and discussions of regulators, academics, risk … the quality of a firm’s risk-management capabilities and its performance—and even survival—in times of distress. About …

concepts of risk and uncertainty, what the difference is between the two terms, and why their presence in the economy may have … widespread effects. He also talks about measuring risk at the aggregate level — that is, risk that affects all participants in … the economy — and he reviews the various types of risk measures that economists have proposed. …

This paper studies the nature of business cycle variation in individual earnings risk using a confidential dataset from … cyclical nature of earnings risk is dramatically different for the top 1 percent compared with all other individuals …

inflation risk. Despite the importance of TIPS liquidity and the market’s large size, there is virtually no quantitative …