december, 2018

11dec12:00 pm1:15 pmFernando MendoRisk to Control RiskEvent:Student Research Workshop

Event Details

Abstract:

Can low risk be risky? In this continuous-time macroeconomic model low measured volatility may disguise the build-up of “hidden systemic run risk.’’ Runs propel the economy into a highly unstable crisis regime. Agents take on too much leverage in the “hidden risk regime’’, since their portfolio decisions are relatively insensitive to tail events. Surprisingly, optimal policy fuels volatility whenever the economy is vulnerable to runs and limits it otherwise.

Time

(Tuesday) 12:00 pm - 1:15 pm

Location

Bendheim Center for Finance Room 101

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