a useful function in monitoring bank risk. Further, the predictive significance of each variable serves as a measure of …This study is concerned with establishing the determinants of banks' exposure to risk and with predicting risk in … banking. Using the COMPUSTAT data base, prediction rules have been developed for two aspects of risk: systematic risk (risk …

allows us to show how bank-level risk management considerations should factor into the pricing of those risks that cannot be … risk management; and ii) not all the risks they face can be frictionlessly hedged in the capital market. This approach …

Can measured risk attitudes and associated structural models predict insurance demand? In an experiment (n = 1,730), we … various risk-attitude measures. Yet all the structural models predict insurance poorly, often less accurately than random …

We measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model and …-markets consumption allocation. There is substantial heterogeneity in risk preferences estimated from the full-insurance model, positively … would benefit from eliminating village-level risk, less-risk-averse households who are paid to absorb that risk would be …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

influence both the coefficient of relative risk aversion and the IEVSL. The presence of a consumption commitment, such as a home …

an international investor with constant expenditure shares [alpha, sub j] and constant relative risk aversion [1-gamma … inflation and risk aversion. It is shown that the minimum variance portfolio is independent of returns, but depends on … expenditure patterns. While the speculative portfolio depends on risk aversion and real return differentials. When the effect of …

This paper examines distortions in corporate investment decisions when a new project changes firm risk. It presents a … dynamic model in which a self-interested, risk-averse manager makes investment decisions at a levered firm. The model … factors in this decision are the expected changes in the values of future tax shields and bankruptcy costs when firm risk …

This paper provides an empirical analysis of the risk of trading revenues of U.S. commercial banks. We collect … quarterly data on trading revenues, broken down by business line, as well as the Value at Risk-based market risk charge. The … across business lines. These low correlations do not corroborate systemic risk concerns. Neither is there evidence that the …