disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to … understand how risk-sharing mechanisms affect equity and variance risk premia, at an aggregate level and in the cross-section of …

This paper introduces changes in the level of ambiguity as a complementary source of time-varying risk aversion. We … ambiguity raises investors' risk aversion. The effect is quantified in an application to European sovereign debt markets using a … decompose empirically credit default swaps (CDS) for Spain and Italy into three shocks: fundamental default risk, risk aversion …

Stocks with high uncertainty about risk, as measured by the volatility of volatility (vol-of-vol), robustly … underperform stocks with low uncertainty about risk by 10 percent per year. This vol-of-vol effect is distinct from (combinations … that uncertainty about risk is highly relevant for stock prices …

financed centrally. This paper builds a model of portfolio allocation with heterogeneity in disaster risk exposure, and with a … discrimination by risk exposure is unfeasible. In this situation, the model shows that the regulator is willing to invest … of nuclear risk in France …

We extend the Consumption-based CAPM (C-CAPM) model to representative agents with different risk attitudes. We first … use the concept of expectation dependence and show that for a risk averse representative agent, it is the first …-degree expectation dependence (FED) rather than the covariance that determines C-CAPM’s riskiness. We extend the assumption of risk …

We extend the Consumption-based CAPM (C-CAPM) model for representative agents with different risk attitudes. We … introduce the concept of expectation dependence and show that for a risk averse representative agent, it is the first …-degree expectation dependence rather than the covariance that determines C-CAPM’s riskiness. We extend the assumption of risk aversion to …

This paper examines the trade-off between risk allocation and quality supply for an insurance monopolist when … individuals face two kinds of risk related to health. First, they may suffer an ordinary monetary loss. Second, they are subject … of unverifiable quality while the insurance of premium risk requires commitment. Profit-maximizing contracts may involve …

This paper introduces changes in the level of ambiguity as a complementary source of time-varying risk aversion. We … ambiguity raises investors' risk aversion. The effect is quantified in an application to European sovereign debt markets using a … decompose empirically credit default swaps (CDS) for Spain and Italy into three shocks: fundamental default risk, risk aversion …