way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both … the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return …

whether they took on unwarranted credit risk by providing other than ultra-short liquidity. I propose a model in which … reason. -- Liquidity ; Asymmetric Information ; Debt maturity …

risk. This paper focuses on the transmission of sovereign risk to insurance companies as some of the largest institutional … effects from sovereign risk to domestic insurers. The impact on insurers is larger than for non-financial firms and slightly … on European data, we show that risks in sovereign bond portfolios are an important driver of insurer risk, which is not …

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for … from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the … method to German data yields very similar results to the ones shown for the US data. The risk premia for rare events …

models in which the exogenous state variables follow conditionally-linear stochastic processes displaying time-varying risk …. The first-order approximation is consistent with a conditionally-linear model in which risk is still timevarying but has … second-order approximation of the solution, instead, is sufficient to get this role. Moreover, risk premia, evaluated using …

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In … correlated defaults primarily impact the CDS prices of firms with an overall low CDS level. (III) Idiosyncratic risk factors for …