these vicissitudes quantitatively and explaining them. Economic theory and economic history together can provide useful …

natural outcome of greater risk sharing facilitated by increased integration. We find that the equilibrium flows in bonds and … stocks are larger than their empirical counterparts, and are largely driven by variations in equity risk premia. The paper …

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values … assumptions invoked by existing methodologies (such as normality or i.i.d. returns). The Conditional Value at Risk or CAViaR model …

While the traditional view of financial innovation emphasizes the risk sharing role of new financial assets, belief …. This paper investigates the effect of financial innovation on portfolio risks in an economy when both the risk sharing and … the possibilities for risk sharing. My main result shows that financial innovation also always increases the speculative …

. Dynamically spread-weighting and risk-rebalancing positions improves performance. Equity, bond, FX, volatility, and downside …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …