expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is … priced in currency markets. To study the price of disaster risk, we propose a simple structural model that includes both … Gaussian and disaster risk and can be estimated even in samples that do not contain disasters. Estimating the model over the …

correlate their risk exposures. Second, private borrowers may deliberately choose to increase their interest-rate sensitivity … requirement coupled with monitoring of the quality of liquid assets. We establish the robustness of our insights when the set of …