Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 20 for “"aggregate risk"”.
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Essays on finance and macroeconomics
… agents are allowed to write contracts on the aggregate state of the economy. In contrast, I show how uncertainty shocks can drive balance sheet recessions with depressed asset prices and growth, and trigger a "flight to quality" event with low interest rates and high risk-premia. Uncertainty …
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Managerial risk-taking incentives and state economic growth
… 1993 and 2015, this paper examines whether aggregate executive risk-taking incentives are related to future state economic growth. I find evidence that an increase in state-level aggregate risk-taking incentives is predictably associated with a lower future state economic growth, after …
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Economic Capital Analysis with Portfolios of Dependent and Heavy-Tailed Risks
In the nowadays reality of prudent risk management, the problem of determining aggregate risk capital in financial entities has been intensively studied for quite long. As a result, canonical methods have been developed and even embedded in regulatory accords. While applauded by some and questioned …
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An economic assessment of research and extension investments in corn, wheat, soybeans, and sorghum
… with inclusion of a variable to account for aggregate risk by producers was developed as the basis for analyzing research and extension investments in corn, wheat, soybeans, and sorghum. Individual commodity models focusing on the relationship of yield per acre to output prices, land quality …
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Robust network design
… horizon. This entails the ability to balance risk and return for the company and account for the cyclical nature of business and other strategic considerations. The project also aims to enhance consistency across stakeholders and introduce an aggregate risk perspective under corporate capital …
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Three essays on agricultural risk and insurance
… theme of this dissertation is agricultural risk and insurance in the United States. Chapter 2 examines welfare effects of the 2002 farm bill programs and yield insurance as well as their impacts on acreage decision of a representative Iowa farmer. Instead of measuring welfare using expected …
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Essays in Heterogeneous Agent Macroeconomics
… models of the 1990s that focus on idiosyncratic risk to the addition of aggregate risk in models based on Krusell-Smith’s heterogeneous agent model have become standard workhorses of macroeconomics. This is unlikely to change as the increased availability of household level data and improvements …
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Essays on dynamic macroeconomics
… as a function of the level of idiosyncratic risk. At empirically relevant levels of idiosyncratic risk, a much less generous system than in the economy without uncertainty emerges. Furthermore, the welfare costs of deviating from the optimal level are substantial, and accompanied by high …
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The values underpinning Iceland's food system risk : implications for resilience planning
… to do so assumes a universalistic framework for risk and resilience -- a trend currently seen in the global proliferation of formulaic, resiliency plans. Ecological resilience is defined as the ability of a system to absorb disturbance so as to retain essentially the same function. In a …
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Development and application of a probabilistic risk assessment model for evaluating advanced train control technologies
Quantitative research on risk and train control has traditionally relied exclusively on historical accident data. In this thesis, a model is developed that enables a probabilistic rather than statistical assessment of safety improvements achieved with advanced train control technologies. This …
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Essays on Asset Pricing
… heterogeneity affects individual consumption, risk sharing and asset prices. In Chapter One “Capital heterogeneity, time-to-build, and return predictability”, I study how two major types of business investment, equipment and structures, are differently linked to stock returns. I empirically …
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Do share pledges by insiders influence firm performance and value?
… moral hazards by motivating them to alter the risk-taking ability of firms and encouraging them to avoid reporting small losses. During the years 2009 to 2015, firms in India displayed a higher tendency to avoid reporting small losses by converting them to small profits when their controlling …
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Essays in macroeconomics : information and financial markets
… featuring different levels of idiosyncratic risk and different degrees of correlation with the aggregate of the economy. Investors solve an optimal contracting problem to induce financial institutions to allocate their investment optimally. We then study how investment decisions are affected …
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Cerebrovascular dysfunction : associations with midlife risk factors
… dementia, a myriad of modifiable cardiovascular risk factors exacerbates and accelerate such risk. Identifying the individual and combined effect earlier in life is crucial to reduce their impact and to introduce positive changes in health behaviors. This dissertation focused on associations …
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Essays on Macroeconomics and International Trade
… Mortensen’s (1998) job ladder model featuring risk-neutral firms, risk-averse workers, and aggregate risk. Because of on-the-job search, my model generates wage rigidity both for incumbent workers, through standard insurance motives, and for new hires, through novel strategic complementarities …
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Essays on macroeconomic risks and stock prices
… I study the relationship between macroeconomic risks and asset prices. In the first chapter, I establish that inflation risk is priced in the cross-section of stock returns: stocks that have low returns during inflationary times command a risk premium. I estimate a market price of inflation risk …
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Collective risk modelling of multivariate compound events: correlation of aggregate wind and precipitation in European extratropical cyclones
… in Europe, which can result in substantial aggregate insurance losses. Understanding the relationship between these aggregates can potentially aid insurers in their portfolio management. This thesis uses annually aggregated wind and precipitation severity indices as proxies for yearly …
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Essays in Banking and Default
… of three chapters. In the first chapter, titled "Aggregate Risk and Bank Risk-Taking", I propose a general equilibrium model in which strategic interactions between banks and depositors may lead to endogenous bank fragility and a drop in investment and output. With some opacity in bank balance …
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Three essays on asset pricing
… is titled “How Do Oil Shocks Affect Stock Market Risk” and aims to explain some documented comovements between crude oil market and stock market and the predictability of oil prices on stock returns. Firstly, I illustrate a mechanism for oil shocks to translate into stock market risk under a …
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Essays on institutions in developing economies
… to changes in the formal sector, when risk-averse agents may choose what risk to bear in addition to how to share a given risk. The second chapter studies informal insurance relationships in a setting with one-sided moral hazard, and shows how the tradeoff between incentive and …