We study general equilibrium asset prices in a multi-period endowment economy when agents’ risk aversion is allowed to … depend on the maturity of the risk. We find horizon-dependent risk aversion preferences generate a decreasing term structure … of risk premia if and only if volatility is stochastic. Our model can thus justify the recent empirical results on the …

in the information set. This "residual risk" can be fully diversified at a zero risk premium. We show that potential … welfare gains from risksharing depend on a weighted average of the variance of residual risk at different horizons. Three …

risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and … that idiosyncratic risk can help to enter the bounds when idiosyncratic uncertainty depends on the aggregate state of the …

Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk … exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently …

associated with higher risk and lower risk-adjusted profits. These results suggest little obvious diversification benefit from …

dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces …

We define CoVaR as the value at risk (VaR) of financial institutions conditional on other institutions being in … distress. The increase of CoVaR relative to VaR measures spillover risk among institutions. We estimate CoVaR using quantile … regressions and document significant CoVaR increases among financial institutions. We identify six risk factors that allow …

We decompose the time series of equity market risk into short- and long-run volatility components. Both components have … negative and highly significant prices of risk in the cross section of equity returns. A three-factor model with the market … captures market skewness risk, while the long-run component captures business cycle risk. Furthermore, short-run volatility is …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from …