uncertainty is time-varying, and (2) countries have heterogeneous exposures to a world aggregate shock. We embed these features in …

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

continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with … standard frameworks. Equity returns depend upon both domestic and global risk factors. Further, local investors tend to …

idiosyncratic entrepreneurial risk-- a risk that introduces, not only a precautionary motive for saving, but also a wedge between …

today at the level of individual banks by managers, investors, and regulators. The basic analytical tool is the risk … to quantifying the effects of asset-liability mismatches within and across institutions. Risk-adjusted CCA balance sheets … facilitate simulations and stress testing to evaluate the potential impact of policies to manage systemic risk …

Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate … execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between … risk and return in optimal execution should reflect the same risk preferences as in ordinary investment. The paper develops …

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 …

with endogenous solvency constraints. These solvency constraints are such as to prevent default at the cost of reduced risk … kernel, and compare it to the one for economies without participation constraints: interest rates are lower and risk premia …