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risk analysis and management
(1020 results)-
White Papers
Complementarity And The Measurement Of Individual Risk Tradeoffs: Accounting For Quantity And Quality Of Life Effects
Jan 2008
This paper considers the factors responsible for differences with age in estimates of the wage compensation an individual requires to accept increased occupational fatality risk. The authors...
Provided by National Bureau of Economic Research
-
White Papers
Optimal Savings Distortions With Recursive Preferences
Jan 2008
This paper derives an intertemporal optimality condition for economies with private information, focusing on a class of recursive preferences. By comparing it to the situation where agents can...
Provided by National Bureau of Economic Research
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White Papers
Redefining A Role For Central Banks: The Increased Importance Of Central Banks? Roles In The Management Of Liquidity Risks And Macro Prudential Supervision In The Aftermath Of The Financial Crisis
Oct 2010
Over the recent years, it has increasingly been acknowledged that macro prudential policies are not only considered to be "A missing ingredient from the current policy framework", but that there...
Provided by Munich Personal Repec Archive
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White Papers
Simulation Of Risk Processes
Sep 2010
This paper is intended as a guide to simulation of risk processes. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound...
Provided by Munich Personal Repec Archive
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White Papers
How Sovereign Is Sovereign Credit Risk?
Dec 2007
The authors study the nature of sovereign credit risk using an extensive sample of CDS spreads for 26 developed and emerging-market countries. Sovereign credit spreads are surprisingly highly...
Provided by National Bureau of Economic Research
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White Papers
Mortality Risks, Health Endowments, And Parental Investments In Infancy: Evidence From Rural India
Nov 2007
This paper examines whether increased background mortality risks induce households to make differential health investments in their high-versus low-endowment children. The authors argue that...
Provided by National Bureau of Economic Research
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White Papers
Ambiguous Information And Market Entry: An Experimental Study
Sep 2010
The authors study experimentally how entry into a market with uncertain capacity is affected by the type of information potential entrants has available. The focus is on behavior in a two-market...
Provided by Munich Personal Repec Archive
-
White Papers
Just Luck: An Experimental Study Of Risk Taking And Fairness
Aug 2010
Choices involving risk significantly affect the distribution of income and wealth in society. This paper reports the results of the first experiment, to the knowledge, to study fairness views...
Provided by Munich Personal Repec Archive
-
White Papers
Selling Risk Management
Jun 2009
The authors sometimes forget that project related activities are not as clear to business people as they are to them. In particular risk management can be seen as a low key part of the project by...
Provided by Project Perfect
-
White Papers
A Different View Of Project Risk
Jul 2009
There are lots of articles and papers on risk management on the web. This paper on risk takes a different perspective. It looks at risk in three dimensions. The point of this paper is to make...
Provided by Project Perfect
-
White Papers
Risk Tolerance And Alcohol Demand Among Adults And Older Adults
Oct 2007
This paper has two primary goals. These are the examination of the effect of risk tolerance on individuals' demand for alcohol and second, the examination of the demand for alcohol by older adults...
Provided by National Bureau of Economic Research
-
White Papers
Random Queues And Risk Averse Users
Aug 2010
The authors analyse Nash equilibrium in time of use of a congested facility. Users are risk averse with general concave utility. Queues are subject to varying degrees of random sorting, ranging...
Provided by Munich Personal Repec Archive
-
White Papers
The Impact Of Institutional Investors And Increasingly Sophisticated Financial Instruments On Risk And Leverage
Aug 2010
A paper prepared by the economists of the Bank of England in 2009 shows that the entire growth of bank profits in 2007 resulted from increased leverage. A similar situation occurred in many other...
Provided by Munich Personal Repec Archive
-
White Papers
Risky Funding: A Unified Framework For Counterparty And Liquidity Risk
Jun 2010
The authors analyze the liquidity component in a derivative transaction where both counterparties can default, and the effect of a counterparty's default probability on his funding costs and...
Provided by Munich Personal Repec Archive
-
White Papers
Equilibrium Portfolio Strategies In The Presence Of Sentiment Risk And Excess Volatility
Sep 2007
The objective is to identify the trading strategy that would allow an investor to take advantage of "Excessive" stock price volatility and "Sentiment" fluctuations. The authors construct a...
Provided by National Bureau of Economic Research
-
White Papers
Imputing Risk Tolerance From Survey Responses
Aug 2007
Economic theory assigns a central role to risk preferences. This paper develops a measure of relative risk tolerance using responses to hypothetical income gambles in the Health and Retirement...
Provided by National Bureau of Economic Research
-
White Papers
Estimating Discount Functions With Consumption Choices Over The Lifecycle
Aug 2007
Intertemporal preferences are difficult to measure. The authors estimate time preferences using a structural buffer stock consumption model and the Method of Simulated Moments. The model includes...
Provided by National Bureau of Economic Research
-
White Papers
Social Identity And Preferences
Sep 2009
Social identities prescribe behaviors for people. The authors identify the marginal behavioral effect of these norms on discount rates and risk aversion by measuring how laboratory subjects'...
Provided by National Bureau of Economic Research
-
White Papers
The Fundamentals Of Commodity Futures Returns
Jul 2007
Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31...
Provided by National Bureau of Economic Research
-
White Papers
Liquidity And Trading Dynamics
Jun 2007
How do financial frictions affect the response of an economy to aggregate shocks? In this paper, the authors address this question, focusing on liquidity constraints and uninsurable idiosyncratic...
Provided by National Bureau of Economic Research
-
White Papers
The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk: A Comment
Jul 2007
Lustig and Verdelhan (2007) argue that the excess returns to borrowing US dollars and lending in foreign currency "Compensate US investors for taking on more US consumption growth risk," yet these...
Provided by National Bureau of Economic Research
-
White Papers
Broadband Infrastructure: The Regulatory Framework, Market Transparency And Risk-Sharing Partnerships Are The Key Factors
May 2010
On the issue of broadband infrastructure there is a marked discrepancy between rhetoric and reality. Set against the ambitious political objectives for broadband rollout - in Germany, for example,...
Provided by Munich Personal Repec Archive
-
White Papers
International Framework For Liquidity Risk Measurement, Standards And Monitoring: Corporate Governance And Internal Controls
Apr 2010
This paper is structured in accordance with identified components which are considered to be essential to the successful implementation of the (two fold) topics of discussion of this paper,...
Provided by Munich Personal Repec Archive
-
White Papers
A Macroeconomic Credit Risk Model For Stress Testing The South African Banking Sector
Mar 2010
In this paper a macroeconomic credit risk model for stress testing the South African banking sector was developed. The findings demonstrate that macroeconomic shocks have a large impact on credit...
Provided by Munich Personal Repec Archive
-
White Papers
Properties Of Foreign Exchange Risk Premiums
Mar 2010
The authors study the properties of foreign exchange risk premia that can explain the forward bias puzzle - the tendency of high-interest rate currencies to appreciate rather than depreciate....
Provided by Munich Personal Repec Archive
-
White Papers
Default Risk And Risk Averse International Investors
Feb 2010
This paper develops a model of debt and default for small open economies that interact with risk averse international investors. The model developed here extends the recent work on the analysis of...
Provided by Munich Personal Repec Archive
-
White Papers
The Impact Of Capital And Disclosure Requirements On Risks And Risk Taking Incentives
Feb 2010
This paper is primarily aimed at highlighting the role and significance of asymmetric information in contributing to financial contagion. Furthermore, in emphasising the importance of greater...
Provided by Munich Personal Repec Archive
-
White Papers
Interest Rates And Bank Risk-taking
Jan 2010
In a recent line of research the low interest-rate environment of the early to mid 2000s is viewed as an element that triggered increased risk-taking appetite of banks in search for yield. This...
Provided by Munich Personal Repec Archive
-
White Papers
Africa And The Global Economic Crisis: A Risk Assessment And Action Guide
Jan 2010
It is increasingly apparent that, despite earlier hopes, the global economic crisis will have a significant impact on the economies of Sub-Saharan Africa. In order to coordinate and craft the most...
Provided by Munich Personal Repec Archive
-
White Papers
On The Risks Of Belonging To Disadvantaged Groups: A Bayesian Analysis Of Labour Market Outcomes
Jan 2010
Although methods of analysis based on Bayes' theorem have had rich applications in Law and in Medicine they have not been much used in Economics. The authors use Bayes' theorem to construct two...
Provided by Munich Personal Repec Archive
-
White Papers
On-Site Audits, Sanctions, And Bank Risk-Taking: An Empirical Overture Towards A Novel Regulatory And Supervisory Philosophy
Aug 2009
This paper investigates the role of banking supervision, measured in terms of enforcement outputs (i.e., on-site audits and sanctions) in containing bank risk-taking. The results on the direct...
Provided by Munich Personal Repec Archive
-
White Papers
Country-Specific Risk Premium, Taylor Rules, And Exchange Rates
Feb 2009
The adoption of a Taylor-type monetary policy rule and an inflation target for emerging market economies that choose a flexible exchange rate regime is often advocated. This paper investigates the...
Provided by Munich Personal Repec Archive
-
White Papers
Of Low Yielders And Carry Trading - The JPY And CHF As Market Risk Sentiment Gauges
Aug 2008
Ever since the credit turmoil took hold in the summer 2007 financial markets have been on the brink. Volatility in asset returns and correlations have been high and investors' view on the...
Provided by Munich Personal Repec Archive
-
White Papers
Oil And Portfolio Risk Diversification
Jan 2011
The growing presence of financial operators in the oil market has brought about the diffusion of techniques - such as feedback trading - which lead to departures of prices from their fundamental...
Provided by Munich Personal Repec Archive
-
White Papers
Financial Regulation And Risk Management: Addressing Risk Challenges In A Changing Financial Environment
Dec 2010
Amongst other goals, this paper aims to address complexities and challenges faced by regulators in identifying and assessing risk, problems arising from different perceptions of risk, and...
Provided by Munich Personal Repec Archive
-
White Papers
Individual-Level Loss Aversion In Riskless And Risky Choices
Nov 2010
Loss aversion can occur in riskless and risky choices. Yet, there is no evidence whether people who are loss averse in riskless choices are also loss averse in risky choices. The authors measure...
Provided by University of Nottingham
-
White Papers
Risk Management In International Business
Sep 2010
Any activity or economic effort is based on a number of unknown and uncertain factors or opportunities simply because its subject is located in the future. All decisions or actions that will lead...
Provided by Munich Personal Repec Archive
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White Papers
Investment, Idiosyncratic Risk, And Ownership
Aug 2010
The authors find a significant negative effect of idiosyncratic stock-return volatility on investment. They address the endogeneity problem of stock return volatility by instrumenting for...
Provided by Munich Personal Repec Archive
-
White Papers
Capital Taxation With Entrepreneurial Risk
Aug 2010
This paper studies the effects of capital taxation in a dynamic heterogeneous-agent economy with uninsurable entrepreneurial risk. Although it allows for rich general-equilibrium effects and a...
Provided by Munich Personal Repec Archive
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White Papers
Uninsurable Risk And Financial Market Puzzles
Jun 2010
Following Kocherlakota and Pistaferri (2009), the authors consider two forms of incomplete risk sharing in economies with consumer heterogeneity: where agents are unable to insure their...
Provided by Munich Personal Repec Archive
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White Papers
Economic Rationality, Risk Presentation, And Retirement Portfolio Choice
Mar 2011
This paper studies the propensity of individuals to violate implications of expected utility maximization in allocating retirement savings within a compulsory defined contribution retirement plan....
Provided by Munich Personal Repec Archive
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White Papers
Unobservable Savings, Risk Sharing And Default In The Financial System
Mar 2011
In this paper, the author analyzes how unobservable savings affect risk sharing and bankruptcy decisions in the financial system. The author extends the Diamond and Dybvig (1983) model of...
Provided by Munich Personal Repec Archive
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White Papers
Workers' Risk Underestimation And Occupational Health And Safety Regulation
Mar 2011
The standard treatment of occupational risk in the labour market is conducted in terms of the theory of compensating wage differentials, the basic characteristic of which is that workers can fully...
Provided by Munich Personal Repec Archive
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White Papers
Theory Of Financial Risk
Mar 2011
This paper examines relationships between theory of financial risk and size. Based on the work of Makridakis / Taleb [2009] and Taleb / Tapiero [2009], presents the problems of excessive risk and...
Provided by Munich Personal Repec Archive
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White Papers
Risk-Based Pricing And Risk-Reducing Effort: Does The Private Insurance Market Reduce Environmental Accidents?
Jun 2009
This paper examines whether risk-based pricing promotes risk-reducing effort. Such mechanisms are common in private insurance markets, but are rarely incorporated in government assurance programs....
Provided by National Bureau of Economic Research
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White Papers
Bailouts, The Incentive To Manage Risk, And Financial Crises
Jun 2009
A firm's termination leads to bankruptcy costs. This may create an incentive for outside stakeholders or the firm's debtholders to bail out the firm as bankruptcy looms. Because of this implicit...
Provided by National Bureau of Economic Research
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White Papers
What Lies Beneath The Euro's Effect On Financial Integration: Currency Risk, Legal Harmonization, Or Trade?
Mar 2010
Although recent research shows that the euro has spurred cross-border financial integration, the exact mechanisms remain unknown. The authors investigate the underlying channels of the euro's...
Provided by National Bureau of Economic Research
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White Papers
The Impact Of State-Level Nutrition-Education Program Funding On BMI: Evidence From The Behavioral Risk Factor Surveillance System
May 2009
Currently, there is insufficient evidence regarding which policies will improve nutrition, reduce BMI, the probability of obesity and the probability of overweight nationwide. This preliminary...
Provided by National Bureau of Economic Research
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White Papers
International Trade And Labor Income Risk In The United States
May 2009
This paper studies empirically the links between international trade and labor income risk faced by workers in the United States. The authors use longitudinal data on workers to estimate...
Provided by National Bureau of Economic Research
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White Papers
A New ?Risky? World Order: Unstable Risk Premiums Implications For Practice
Aug 2010
Investors have to be offered risk premiums to invest in risky assets. These risk premiums take different forms in different asset markets: Equity Risk Premiums (ERP) in stock markets, default...
Provided by Stern School of Business
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White Papers
Into The Abyss: What If Nothing Is Risk Free?
Jul 2010
In corporate finance and investment analysis, the authors assume that there is an investment with a guaranteed return that offers both firms and investors a "Risk free" choice. This assumption,...
Provided by Stern School of Business
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Whitepapers
Strategy Guide to Business Risk Mitigation
Feb 2011
Disaster recovery is an important consideration for all companies. For midsize organizations, it is critical, however, because even brief interruptions can have a significant impact on...
Provided by Hewlett-Packard (HP)
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Whitepapers
Strategy Guide to Business Risk Mitigation for Healthcare
Feb 2011
When you think of IT disaster recovery for a hospital, you might envision a plan for protecting critical patient data if the facility is struck by a flood or a fire. What does not immediately come...
Provided by Hewlett-Packard (HP)
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Whitepapers
Strategy Guide to Business Risk Mitigation For Financial Services
Feb 2011
In an increasingly competitive market for financial services, community banks and credit unions have a unique advantage: the ability to offer personalized, "hometown" service. As strong as that...
Provided by Hewlett-Packard (HP)
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White Papers
Are Gifts And Loans Between Households Voluntary?
Jun 2010
Using village data from Tanzania, the authors test whether gifts and loans between households are voluntary while correcting for misreporting by the giving and receiving households. Two maintained...
Provided by Paris-Jourdan Sciences Economiques
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White Papers
Liquidity, Risk And Occupational Choices
Oct 2010
The authors explore whether financial constraints matter and which financial constraints matter the most in the choice of becoming an entrepreneur. They exploit a randomly assigned welfare program...
Provided by Paris-Jourdan Sciences Economiques
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White Papers
Comparative Risk Aversion: A Formal Approach With Applications To Savings Behaviors
Jan 2010
The authors consider a formal approach to comparative risk aversion and apply it to intertemporal choice models. This allows asking whether standard classes of utility functions, such as those...
Provided by Centre pour la Communication Scientifique Directe
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White Papers
Using Premia And Nsp For Constructing A Risk Management Benchmark For Testing Parallel Architecture
Jan 2010
Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like...
Provided by Centre pour la Communication Scientifique Directe
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White Papers
Scenario Analysis With Recursive Utility: Dynamic Consumption Plans For Charitable Endowments
Dec 2007
The authors determine optimal consumption paths under a series of returns scenarios for charitable endowments with distinct tastes over investment risk and inter-temporal substitution. Charities...
Provided by University of Technology Sydney
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White Papers
The Toll Of Subrational Trading In An Agent Based Economy
Mar 2008
In an agent-based exchange economy, the authors measure the loss of wealth for rational agents due to the presence of varying proportions of subrational (boundedly rational) traders that do not...
Provided by University of Technology Sydney
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White Papers
A Stylised Model For Extreme Shocks: Four Moments Of The Apocalypse
Aug 2007
The authors present a method for calculating the extreme tail quantiles, over arbitrary holding periods, of a continuous-time stochastic volatility model of the form proposed by Scott (1987) with...
Provided by University of Technology Sydney
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White Papers
Quadratic Hedging Of Basis Risk
Jun 2008
When a contingent claim is written on an asset or process which is not traded, it is natural to enquire about the effectiveness of hedging with a correlated security. In this situation the market...
Provided by University of Technology Sydney
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White Papers
Macroeconomic Risk And The Size Of Government-Do Globalisation And Institutions Matter?
Jun 2009
The authors present an empirical model where output growth volatility and government expenditure are jointly endogenous and both are affected by policies and institutions. They find that output...
Provided by University of Queensland
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White Papers
A Framework For CAPM With Heterogenous Beliefs
Sep 2009
The authors introduce heterogeneous beliefs into the mean-variance framework of the standard CAPM, in contrast to the standard approach which assumes homogeneous beliefs. By assuming that agents...
Provided by University of Technology Sydney
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White Papers
A Hybrid Commodity And Interest Rate
Nov 2009
A joint model of commodity price and interest rate risk is constructed analogously to the multi-currency LIBOR Market Model (LMM). Going beyond a simple "Re-interpretation" of the multi-currency...
Provided by University of Technology Sydney
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White Papers
Real World Pricing Of Long Term Contracts
Nov 2009
Long dated contingent claims are relevant in insurance, pension fund management and derivative pricing. This paper proposes a paradigm shift in the valuation of long term contracts, away from...
Provided by University of Technology Sydney
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White Papers
A Visual Criterion For Identifying Ito Diffusions As Martingalesor Strict Local Martingales
Nov 2009
It is often important, in applications of stochastic calculus to financial modeling, to know whether a given local martingale is a martingale or a strict local martingale. The authors address this...
Provided by University of Technology Sydney
-
White Papers
Modelling Co-movements And Tail Dependency In The International Stock Market Via Copulae
Sep 2009
This paper examines international equity market co-movements using time-varying copulae. The authors examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions...
Provided by University of Technology Sydney
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White Papers
Differences In Opinion And Risk Premium
Feb 2010
When people agree to disagree, this paper examines the impact of the disagreement among agents on market equilibrium and equity premium. Within the standard mean variance framework, the authors...
Provided by University of Technology Sydney
-
White Papers
Using Dynamic Copulae For Modeling Dependency In Currency Denominations Of A Diversifed World Stock Index
Aug 2010
This aim of this paper is to model the dependency among log-returns when security account prices are expressed in units of a well diversified world stock index. The paper uses the equi-weighted...
Provided by University of Technology Sydney
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White Papers
Risk Sharing, Inequality And Fertility
Jun 2009
The authors use an extended Barro-Becker model of endogenous fertility, in which parents are heterogeneous in their labor productivity, to study the efficient degree of consumption inequality in...
Provided by National Bureau of Economic Research
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White Papers
Risk Allocation, Debt Fueled Expansion And Financial Crisis
Jun 2009
In this paper the authors discuss how several macroeconomic features of the 2001-2009 periods may have resulted from a process in which financial markets were trying to allocate risk between...
Provided by National Bureau of Economic Research
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White Papers
A Factor Analysis Of Bond Risk Premia
Jul 2009
This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the macro economy. Using a panel of 131 monthly macroeconomic time series for the...
Provided by National Bureau of Economic Research
-
White Papers
Portfolio Choice In Retirement: Health Risk And The Demand For Annuities, Housing, And Risky Assets
Sep 2009
This paper develops a consumption and portfolio-choice model of a retiree who allocates wealth in four asset classes: a riskless bond, a risky asset, a real annuity, and housing. The retiree...
Provided by National Bureau of Economic Research
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White Papers
Time Varying Risk Aversion: An Application To Energy Hedging
Aug 2009
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean...
Provided by UCD University Relations
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White Papers
Real Business Cycle Dynamics Under First-Order Risk Aversion
May 2007
This paper incorporates preferences that display First-Order Risk Aversion (FORA) into a standard real business cycle model. Although FORA preferences represent a sharp departure from the Expected...
Provided by Federal Reserve Bank of Dallas
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White Papers
Can Owning A Home Hedge The Risk Of Moving?
Oct 2009
Conventional wisdom holds that one of the riskiest aspects of owning a house is the uncertainty surrounding its sale price, especially if one moves to another housing market. However, households...
Provided by National Bureau of Economic Research
-
White Papers
An Empirical Evaluation Of The Long-Run Risks Model For Asset Prices
Nov 2009
The authors provide an empirical evaluation of the forward-looking Long-Run Risks (LRR) model and highlight model differences with the backward-looking habit based asset pricing model. They...
Provided by National Bureau of Economic Research
-
White Papers
Risk Price Dynamics
Nov 2009
The authors present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. They quantify the shock exposures in...
Provided by National Bureau of Economic Research
-
White Papers
Indexed Sovereign Debt: An Applied Framework
Jan 2010
A number of countries have issued sovereign debt bonds indexed to real variables in recent years. In a dynamic stochastic equilibrium framework with incomplete markets, this paper studies the main...
Provided by Collegio Carlo Alberto
-
White Papers
Just Luck: An Experimental Study Of Risk Taking And Fairness
Aug 2010
Choices involving risk significantly affect the distribution of income and wealth in society. This paper reports the results of the first experiment, to the knowledge, to study fairness views...
Provided by Munich Personal Repec Archive
-
White Papers
Selling Risk Management
Jun 2009
The authors sometimes forget that project related activities are not as clear to business people as they are to them. In particular risk management can be seen as a low key part of the project by...
Provided by Project Perfect
-
White Papers
A Different View Of Project Risk
Jul 2009
There are lots of articles and papers on risk management on the web. This paper on risk takes a different perspective. It looks at risk in three dimensions. The point of this paper is to make...
Provided by Project Perfect
-
White Papers
Risk Tolerance And Alcohol Demand Among Adults And Older Adults
Oct 2007
This paper has two primary goals. These are the examination of the effect of risk tolerance on individuals' demand for alcohol and second, the examination of the demand for alcohol by older adults...
Provided by National Bureau of Economic Research
-
White Papers
Random Queues And Risk Averse Users
Aug 2010
The authors analyse Nash equilibrium in time of use of a congested facility. Users are risk averse with general concave utility. Queues are subject to varying degrees of random sorting, ranging...
Provided by Munich Personal Repec Archive
-
White Papers
The Impact Of Institutional Investors And Increasingly Sophisticated Financial Instruments On Risk And Leverage
Aug 2010
A paper prepared by the economists of the Bank of England in 2009 shows that the entire growth of bank profits in 2007 resulted from increased leverage. A similar situation occurred in many other...
Provided by Munich Personal Repec Archive
-
White Papers
Risky Funding: A Unified Framework For Counterparty And Liquidity Risk
Jun 2010
The authors analyze the liquidity component in a derivative transaction where both counterparties can default, and the effect of a counterparty's default probability on his funding costs and...
Provided by Munich Personal Repec Archive
-
White Papers
Equilibrium Portfolio Strategies In The Presence Of Sentiment Risk And Excess Volatility
Sep 2007
The objective is to identify the trading strategy that would allow an investor to take advantage of "Excessive" stock price volatility and "Sentiment" fluctuations. The authors construct a...
Provided by National Bureau of Economic Research
-
White Papers
Imputing Risk Tolerance From Survey Responses
Aug 2007
Economic theory assigns a central role to risk preferences. This paper develops a measure of relative risk tolerance using responses to hypothetical income gambles in the Health and Retirement...
Provided by National Bureau of Economic Research
-
White Papers
Estimating Discount Functions With Consumption Choices Over The Lifecycle
Aug 2007
Intertemporal preferences are difficult to measure. The authors estimate time preferences using a structural buffer stock consumption model and the Method of Simulated Moments. The model includes...
Provided by National Bureau of Economic Research
-
White Papers
Social Identity And Preferences
Sep 2009
Social identities prescribe behaviors for people. The authors identify the marginal behavioral effect of these norms on discount rates and risk aversion by measuring how laboratory subjects'...
Provided by National Bureau of Economic Research
-
White Papers
The Fundamentals Of Commodity Futures Returns
Jul 2007
Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31...
Provided by National Bureau of Economic Research
-
White Papers
Liquidity And Trading Dynamics
Jun 2007
How do financial frictions affect the response of an economy to aggregate shocks? In this paper, the authors address this question, focusing on liquidity constraints and uninsurable idiosyncratic...
Provided by National Bureau of Economic Research
-
White Papers
The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk: A Comment
Jul 2007
Lustig and Verdelhan (2007) argue that the excess returns to borrowing US dollars and lending in foreign currency "Compensate US investors for taking on more US consumption growth risk," yet these...
Provided by National Bureau of Economic Research
-
White Papers
Broadband Infrastructure: The Regulatory Framework, Market Transparency And Risk-Sharing Partnerships Are The Key Factors
May 2010
On the issue of broadband infrastructure there is a marked discrepancy between rhetoric and reality. Set against the ambitious political objectives for broadband rollout - in Germany, for example,...
Provided by Munich Personal Repec Archive
-
White Papers
International Framework For Liquidity Risk Measurement, Standards And Monitoring: Corporate Governance And Internal Controls
Apr 2010
This paper is structured in accordance with identified components which are considered to be essential to the successful implementation of the (two fold) topics of discussion of this paper,...
Provided by Munich Personal Repec Archive
-
White Papers
A Macroeconomic Credit Risk Model For Stress Testing The South African Banking Sector
Mar 2010
In this paper a macroeconomic credit risk model for stress testing the South African banking sector was developed. The findings demonstrate that macroeconomic shocks have a large impact on credit...
Provided by Munich Personal Repec Archive
-
White Papers
Properties Of Foreign Exchange Risk Premiums
Mar 2010
The authors study the properties of foreign exchange risk premia that can explain the forward bias puzzle - the tendency of high-interest rate currencies to appreciate rather than depreciate....
Provided by Munich Personal Repec Archive
-
White Papers
Default Risk And Risk Averse International Investors
Feb 2010
This paper develops a model of debt and default for small open economies that interact with risk averse international investors. The model developed here extends the recent work on the analysis of...
Provided by Munich Personal Repec Archive
-
White Papers
The Impact Of Capital And Disclosure Requirements On Risks And Risk Taking Incentives
Feb 2010
This paper is primarily aimed at highlighting the role and significance of asymmetric information in contributing to financial contagion. Furthermore, in emphasising the importance of greater...
Provided by Munich Personal Repec Archive
-
White Papers
Interest Rates And Bank Risk-taking
Jan 2010
In a recent line of research the low interest-rate environment of the early to mid 2000s is viewed as an element that triggered increased risk-taking appetite of banks in search for yield. This...
Provided by Munich Personal Repec Archive
-
White Papers
Africa And The Global Economic Crisis: A Risk Assessment And Action Guide
Jan 2010
It is increasingly apparent that, despite earlier hopes, the global economic crisis will have a significant impact on the economies of Sub-Saharan Africa. In order to coordinate and craft the most...
Provided by Munich Personal Repec Archive
-
White Papers
On The Risks Of Belonging To Disadvantaged Groups: A Bayesian Analysis Of Labour Market Outcomes
Jan 2010
Although methods of analysis based on Bayes' theorem have had rich applications in Law and in Medicine they have not been much used in Economics. The authors use Bayes' theorem to construct two...
Provided by Munich Personal Repec Archive
-
White Papers
On-Site Audits, Sanctions, And Bank Risk-Taking: An Empirical Overture Towards A Novel Regulatory And Supervisory Philosophy
Aug 2009
This paper investigates the role of banking supervision, measured in terms of enforcement outputs (i.e., on-site audits and sanctions) in containing bank risk-taking. The results on the direct...
Provided by Munich Personal Repec Archive
-
White Papers
Country-Specific Risk Premium, Taylor Rules, And Exchange Rates
Feb 2009
The adoption of a Taylor-type monetary policy rule and an inflation target for emerging market economies that choose a flexible exchange rate regime is often advocated. This paper investigates the...
Provided by Munich Personal Repec Archive
-
White Papers
Of Low Yielders And Carry Trading - The JPY And CHF As Market Risk Sentiment Gauges
Aug 2008
Ever since the credit turmoil took hold in the summer 2007 financial markets have been on the brink. Volatility in asset returns and correlations have been high and investors' view on the...
Provided by Munich Personal Repec Archive
-
White Papers
Oil And Portfolio Risk Diversification
Jan 2011
The growing presence of financial operators in the oil market has brought about the diffusion of techniques - such as feedback trading - which lead to departures of prices from their fundamental...
Provided by Munich Personal Repec Archive
-
White Papers
Financial Regulation And Risk Management: Addressing Risk Challenges In A Changing Financial Environment
Dec 2010
Amongst other goals, this paper aims to address complexities and challenges faced by regulators in identifying and assessing risk, problems arising from different perceptions of risk, and...
Provided by Munich Personal Repec Archive
-
White Papers
Individual-Level Loss Aversion In Riskless And Risky Choices
Nov 2010
Loss aversion can occur in riskless and risky choices. Yet, there is no evidence whether people who are loss averse in riskless choices are also loss averse in risky choices. The authors measure...
Provided by University of Nottingham
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White Papers
Risk Management In International Business
Sep 2010
Any activity or economic effort is based on a number of unknown and uncertain factors or opportunities simply because its subject is located in the future. All decisions or actions that will lead...
Provided by Munich Personal Repec Archive
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White Papers
Investment, Idiosyncratic Risk, And Ownership
Aug 2010
The authors find a significant negative effect of idiosyncratic stock-return volatility on investment. They address the endogeneity problem of stock return volatility by instrumenting for...
Provided by Munich Personal Repec Archive
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White Papers
Capital Taxation With Entrepreneurial Risk
Aug 2010
This paper studies the effects of capital taxation in a dynamic heterogeneous-agent economy with uninsurable entrepreneurial risk. Although it allows for rich general-equilibrium effects and a...
Provided by Munich Personal Repec Archive
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White Papers
Uninsurable Risk And Financial Market Puzzles
Jun 2010
Following Kocherlakota and Pistaferri (2009), the authors consider two forms of incomplete risk sharing in economies with consumer heterogeneity: where agents are unable to insure their...
Provided by Munich Personal Repec Archive
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White Papers
Emerging Market Local Currency Bond Market, Too Risky To Invest?
Apr 2010
Over the last decade Emerging Market (EM) sovereign debt has become a firmly established strategic asset class. Besides Dollar-denominated debt, local currency emerging market debt has also been...
Provided by Munich Personal Repec Archive
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White Papers
The Risk Of Operational Incidents In Banking Institutions
Mar 2010
Banking-financial institutions are organizations which might be included in the category of complex systems. Consequently, they can be applied after adaptation and particularization, in the...
Provided by Munich Personal Repec Archive
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White Papers
Measuring Market Risk Using Extreme Value Theory
Mar 2010
The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutions to develop Value-at-Risk (VaR) models to measure market risk. In this paper, two VaR models...
Provided by Munich Personal Repec Archive
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White Papers
Risk-Premia, Carry-Trade Dynamics, And Economic Value Of Currency Speculation
Mar 2010
In this paper, the authors derive the dynamics and assess the economic value of currency speculation by formalizing the concept of a trader inaction range. They show that exchange rate returns...
Provided by Munich Personal Repec Archive
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White Papers
Behavioral Approach To Market And Default Risks Modeling
Mar 2010
In this paper the authors discuss popular market and default risks modeling. They highlight some shortcomings. Then, they present the prospect and cumulative prospect theories. They discuss again...
Provided by Munich Personal Repec Archive
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White Papers
On Behavioral Arrow Pratt Risk Process With Applications To Risk Pricing, Stochastic Cash Flows, And Risk Control
Jan 2010
The authors introduce a closed form behavioural stochastic Arrow-Pratt risk process, decomposed into discrete asymmetric risk seeking and risk averse components that run on different local times...
Provided by Munich Personal Repec Archive
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White Papers
Factor Models And The Credit Risk Of A Loan Portfolio
Jan 2010
Factor models for portfolio credit risk assume that defaults are independent conditional on a small number of systematic factors. This paper shows that the conditional independence assumption may...
Provided by Munich Personal Repec Archive
