convex dynamic risk measure generated by the solution of a backward stochastic differential equation. The agents are exposed … to financial and non-financial risk factors. They can hedge their financial risk in the stock market and trade a … structured derivative whose payoff depends on both financial and external risk factors. We prove an existence and uniqueness of …

This paper analyzes the welfare costs of business cycles when workers face uninsurable idiosyncratic labor income risk …. In accordance with the previous literature, this paper decomposes labor income risk into an aggregate and an … income risk. Using the multi-dimensional approach to idiosyncratic risk, this paper provides a general characterization of …

asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications …-form expressions for the risk premium in production economies. In contrast to endowment economies, the curvature of the policy … functions affects the risk premium through controlling the individual's effective risk aversion. …

labor market risk, infuences the degree of polarization in the wealth distribution, as poor agents in particular save more … if the income process is more volatile. With low risk, there are two distinct population groups: the poor and the rich …. There is no mobility between groups, and the wealth distribution is history dependent. With high risk, there is mobility …

This paper analyzes a class of stochastic endogenous growth models with uninsurable idiosyncratic income risk. The … individual income process that displays realistic variations in idiosyncratic income risk. The calibrated model economy generates …

models are more likely to have generated the data. In particular, despite its generality, a model with both risk aversion and …