This paper provides a joint analysis of household stockholding participation, stock location among stockholding modes … through retirement accounts only. Household characteristics influence stockholding through retirement accounts conditional on …

through Medicare and the associated reduction in health-related background risk on financial risk-taking. Given the onset of …. Hence, our results indicate that a reduction in background risk induces financial risk-taking in individuals for whom …

This paper provides a joint analysis of household stockholding participation, stock location among stockholding modes … through retirement accounts only. Household characteristics influence stockholding through retirement accounts conditional on …

, and interest rate risk. It uses a zero-profit condition for mortgage lenders to solve for equilibrium mortgage rates given …-to-value ratios, and mortgage affordability measures on mortgage premia and default. Heterogeneity in borrowers' labor income risk is …This paper solves a dynamic model of households' mortgage decisions incorporating labor income, house price, inflation …

This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model …, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of … Carlo Simulation, we find that the risk properties of ABS differ significantly and systematically from those of straight …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of …

This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model …, and macro factor dependencies. Using a two-dimensional loss decomposition as a new metric, the risk properties of … Carlo Simulation, we find that the risk properties of ABS differ significantly and systematically from those of straight …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of …