stationary, monotonic and well-ordered in terms of risk aversion. We prove that the class of preferences introduced by Hansen and … shift from the traditional approach to studying the role of risk aversion in recursive problems. We also provide … applications, in which we discuss the impact of risk aversion on asset pricing and risk sharing. …

Maccheroni et al. (2004) characterizes investor preferences under aversion against both risk and ambiguity. Their result shows …Ambiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by … that these preferences can be numerically represented in terms of convex risk measures. In this paper we study the …

ranges from August 2002 to May 2009. As results we find significant positive risk premia, both in the block contract market … and in the day-ahead market. The risk premia in day-ahead market contracts vary in magnitude and in sign throughout the … day. Furthermore, we detect a term structure of risk premia during the sub-period in which all three market segments were …

The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that … hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this … positive risk premia at the short-end. Furthermore, we find that risk premia show a term structure. Evidence for the existence …

is plugged in a fairly general distribution-invariant risk measure. We focus on the rate of the convergence of the error … means of a numerical example. Regarding the risk measure, we take into account distortion risk measures as well as … distribution-invariant coherent risk measures. …

Should the realized risk premium be taxed – or not? In a simple two asset portfolio model we analyze the optimal … taxation rule when the economy faces aggregate risk. We show in an appropriate designed tax system, that the risk premium of … the risky asset should be fully taxed if the households are risk neutral in public consumption. If they are risk averse in …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon …

The paper discusses criteria for comparing risk aversion of decision makers when outcomes are multidimensional. A weak … concept, "commodity specific greater risk aversion", is based on the comparison of risk premia paid in a specified commodity …. A stronger concept, "uniformly greater risk aversion" is based on the comparison of risk premia regardless of what …