We investigate financial experts’ beliefs about climate risk pricing and analyze how those beliefs influence stock …

In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators … derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …

uninsured capital income risk, and suffer from an information-processing capacity constraint. For given attention devoted to … capital income risk, we solve for the optimal consumption-saving choices and show that the expected welfare is increasing with … capacity, assuming a relative risk aversion degree larger than unity. Furthermore, we solve for attention choice and find that …

A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …

We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs … resulting from an increased risk exposure. We find that when the shock distribution displays "fat" tails, extreme segmentation …

Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk … rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more … than doubles. Hence, risk matters more in the recalibrated model. However, the recalibrated model does worse in capturing …

of optimal risk-sharing in mortgage contracts. But since only a small literature has studied this question, more research … termination via prepayment or default affects optimal risk-sharing. The broad conclusion of the analysis is that potential … mortgage termination makes higher risk exposure for borrowers optimal. …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …