forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …

We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs … resulting from an increased risk exposure. We find that when the shock distribution displays "fat" tails, extreme segmentation …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

The risk of recurrent outbreaks following the main waves of a pandemic has been acknowledged. We provide evidence of … the scale and duration of this outbreak risk. We compile municipal public health records and use national data to model … eight major UK cities, we find elevated mortality risk that persists for nearly two decades. The generality of the findings …

We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in … corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays … intuitive relations with quantitative measures of cybersecurity risk disclosure language, exhibits a positive trend over time …

approaches to incorporating climate risk in macro-finance models. We then review the empirical literature that explores the … risk. We conclude by proposing several promising directions for future research in climate finance. …

We measure the economic risk of COVID-19 at a geo-spatially detailed resolution. In addition to data about the current … prevalence of confirmed cases, we use data from 2014-2018 and a conceptual disaster risk model to compute measures for exposure …, vulnerability, and resilience of the local economy to the shock of the epidemic. Using a battery of proxies for these four concepts …

empirically show two main findings: first, risk-taking is positively related to the length of tax loss periods because the loss … rules shift some risk to the government; and second, the tax rate has a positive effect on risk-taking for firms that expect …

We argue that risk sharing motivates the bank-wide structure of bonus pay. In the presence of financial frictions that … make external financing costly, the optimal contract between shareholders and employees involves some degree of risk … to rationalize with incentive theories of bonus pay - but support an important risk sharing motive. In particular …