Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry …

Many decisions under risk involve alternatives with multiple and possibly non-financial attributes. In this paper, we … characterize risk apportionment preferences in a bivariate setting. We distinguish between desirable and undesirable attributes and … show how to adapt the theory to obtain consistent results. We extend the definitions of correlation aversion, cross …

Contracts with embedded prepayment/extension options are subject to behavioral risk, due to the unpredictable exercise … in future cash flows. In this paper, we propose a general framework to model behavioral risk by exploiting a parallel … with credit risk modeling. Early redemption probabilities are assimilated to default probabilities and investor decisions …

This study proposes a new “two-factor” risk preference metric and assesses its effectiveness in predicting financial … satisfaction under two risk domains: investment market risk and credit card risk. The factors in our two-factor assessment are risk … tolerance and financial self-efficacy (FSE), both of which have other theoretical and empirical support as measures of risk …

This paper tests the validity of a single-factor (market) model to price consumer lending risk. It classifies US … revolving credit as default risk, show that the intercepts are indistinguishable from zero in 22 portfolios, and the average … default rate of a portfolio increases with its beta. The additional risk factors based on unemployment and income growth …

We study the representative consumer's risk attitude and efficient risk-sharing rules in a single-period, single …-good economy in which consumers have homogeneous probabilistic beliefs but heterogeneous risk attitudes. We prove that if all … consumers have convex absolute risk tolerance, so must the representative consumer. We also identify a relationship between the …