We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under … results clearly state that market risk may be substantially underestimated by those models which assume Normality or, even … considering Non-Normality, neglect to model time- dependence. Moreover, VaR is an incomplete measure of market risk whenever the …

It is well known that risk increases the value of options. This paper makes that precise in a new way. The conventional …

This paper uses international survey data to document two stylized facts. First, risk aversion is associated with anti … government spending can bolster support for globalization by reducing the risk associated with it in the minds of voters. …

The risk of investment in schooling has largely been ignored. We assess the variance in the rate of return by surveying … positively skewed. Our best guess of ex ante risk in university education is a coefficient of variation of about 0.3, comparable …

increase if country selection is incorporated into the strategies, but the risk of the strategies increases proportionally … for the excess returns. We find no evidence of higher market risk or lower liquidity of the strategies. Instead, based on …

There has been a revival of interest in the effect of risk on economic growth. We quantify both ex ante and ex post … effects of risk using a stochastic version of the Ramsey model. We develop a simulation-based econometric methodology which … remarkable long-running panel data set for rural households in Zimbabwe. We find that risk substantially reduces growth: in the …

Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry …