extrema events risk. Based on the newly proposed riskiness index by Aumann and Serrano (2008), we construct the PROFIT Index … complete order for all risk avers investors. We present a closed-form solution to the PROFIT Index, as a function of the return … stressing the asymmetric sensitivity between losses then gains. Consequently, downside risk measure such as VaR and CVaR were …

. To analyze the risk of stock collapse, we apply a relatively simple Monte Carlo approach which can capture complex stock …

the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend …

Our paper represents the first attempt in the literature to estimate the properties of business income risk from …-2009, we extensively document the empirical stylized facts about the evolution of various business income risk measures over …

facts of income risk from privately held businesses in the US using a large panel. We employ a new, large, and confidential … distribution of business income risk has less mass in the middle and exhibits significantly thicker tails, compared to the … distribution of labor income risk. Our data also suggest that high-income households are more likely to face the tail risks on both …