This paper studies asset pricing and labor market dynamics in a setting in which idiosyncratic risk in human capital is … tail risk in labor earnings arises as a part of an optimal risk-sharing scheme. In equilibrium, exposure to the tail risk … generates higher aggregate risk premia and higher return volatility. Consistent with data, firm-level labor share predicts both …

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 …

in real exchange rate volatility increases the volatility of the trade balance if risk aversion is low but lowers it if … risk aversion is high. The opposite applies when supply shocks lead to counter-cyclical trade balances. We calibrate the …

arrangements for shifting risk from workers to employers strengthens the case for accepting the hypothesis that incomplete … analysis shows that the introduction of risk-shifting arrangements into models of incomplete information eliminates the … analysis shows that the apparent fact that workers choose an amount of risk shifting that gives them constant nominal wage …

We study a dynamic-contracting problem involving risk sharing between two parties -- the Proposer and the Responder … wealth in the risky asset, but they can share the underlying investment and termination risk. When the project ends they … consume their final accumulated wealth. The Proposer and the Responder have constant relative risk aversion R and r …

between consumption losses in a disaster and the risk premium, a small amount of risk sharing can significantly attenuate the … effect that disaster risk has on the equity premium. We characterize the sensitivity of risk premium to wealth distribution … lead to significant variation in disaster risk premium. It also highlights the conditions under which disaster risk premium …

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 …