Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Tail risk 

Report
Asset Pricing with Endogenously Uninsurable Tail Risk

This paper studies asset pricing in a setting in which idiosyncratic risk in human capital is not fully insurable. Firms use long-term contracts to provide insurance to workers, but neither side can commit to these contracts; furthermore, worker-firm relationships have endogenous durations owing to costly and unobservable effort. Uninsured tail risk in labor earnings arises as a part of an optimal risk-sharing scheme. In the general equilibrium, exposure to the resulting tail risk generates higher risk premia, more volatile returns, and variations in expected returns across firms. Model ...
Staff Report , Paper 570

Working Paper
Are the Largest Banking Organizations Operationally More Risky?

This study demonstrates that, among large U.S. bank holding companies (BHCs), the largest ones are exposed to more operational risk. Specifically, they have higher operational losses per dollar of total assets, a result largely driven by the BHCs' failure to meet professional obligations to clients and/or faulty product design. Operational risk at the largest U.S. institutions is also found to: (i) be particularly persistent, (ii) have a counter-cyclical component (higher losses occur during economic downturns) and (iii) materialize through more frequent tail-risk events. We illustrate two ...
Working Papers , Paper 2016

FILTER BY year

FILTER BY Series

FILTER BY Content Type

Report 1 items

Working Paper 1 items

FILTER BY Author

FILTER BY Jel Classification

E3 1 items

G1 1 items

G20 1 items

G21 1 items

FILTER BY Keywords

PREVIOUS / NEXT