In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … optimal deals by finding the portfolio weights in an asset demand system that targets return and risk. Extrapolating wildfire …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which …

assets in the economy is greater than zero, an increase in inflation uncertainty will lower the risk premia on all real … and commodity futures contracts yields mixed results. The risk premia on long-term bonds and futures have the "wrong …

model of time-varying labor income risk and study the implications of stochastic covariance between labor income and … dividends for the dynamics of the risk premiums on financial wealth and human capital …

risk. Current reporting standards for derivatives exposures are nevertheless inadequate for assessing these systemic risk … contributions. In this paper, I explain how a transparency standard, in contrast to the current standard, would facilitate such risk … lack of standardization, they cannot be aggregated to assess the risk to the system. I highlight the important contribution …

What do academics have to offer market risk management practitioners in financial institutions? Current industry … assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …-time risk tracking in very high-dimensional situations -- impose strict limits on model complexity. Hence we stress parsimonious …

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 …

. 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 …, even for funds with the same target retirement date. Using fund-level data, we find evidence that this heterogeneity … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using …