主题：Matching to Share Risk
主讲人：Dr. Hailin Sun, Toulouse School of Economics
日期：2013年04月16日 13：00-14：30pm
地点：北京大学经济学院新楼202教室
主讲人简介：
Dr. Hailin Sun. received her Ph. D. in Economics with highest distinction from Toulouse School of Economics in 2011. She worked at Goldman Sachs (London) before joining Sunshine Asset Management. Her research areas include risk and uncertainty, financial and business cycle, and industrial organization. Her doctoral research focus is on risk decisions of venture capitals and households. Her business research focus is on systematic risk drivers from long-wave business cycle, monetary authorities and credit cycle. She had numerous articles published in SSCI and Chinese core journals.
[Abstract]An important motivation for venture capital activities or marriage-related migrations in underdeveloped countries is to efficiently share risk. But how will market pair venture capital funds with equity capitals, or men with women? This paper analyzes stable match for risk sharing where agents are heterogeneous in their income riskiness. We show that for preference belongs to theclass of harmonic absolute risk aversion, stablematch minimizes the social risk premium. Particularly, in the multiplicative modelwhere agents are ranked by their holding scales of a common risky asset, theconvexity of joint risk premium in joint risk scale leads to negative assortative matching; in the additive model where agents are ranked by theiridiosyncratic risksà la Rothschild-Stiglitz, negative sorting is stable ifany Rothschild-Stiglitz deterioration raises local risk aversion à la Ross.We then allows for the agents to control their incomes risks at a cost. We show that in regardsto risk management, agents prefer similar partners because of their aligned objectivesin risk management. When it is easy to control risks or all agents are sufficientlyrisk-averse, the risk-management effect dominates, leading to positive sorting.
北京大学经济学院金融学系
北京大学金融创新与发展研究中心
