-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging … to a battery of candidate variables for determining meaningful systematic risk factors. Second, Markov switching … market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …

shocks, and show how the underlying economic structure affects the risk-adjusted discount rate and the climate risk premium … transition. The time path of the climate risk premium is hump-shaped, with the climate beta playing a dominant role in its … can temporarily reduce aggregate consumption risk, as the climate beta becomes negative in the mid phase of the transition …

This paper proposes a forward-looking metric of transition risk that relates financial performance and incremental …

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for … method to German data yields very similar results to the ones shown for the US data. The risk premia for rare events … constitute a considerable part of the total equity and variance risk premia for both markets. When using the results to build an …

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 …

We propose and implement a method to identify shocks to transition risk, addressing key challenges regarding its … risk in the United States. These shocks have important aggregate effects, also inducing financial instability. They are …