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 …

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 …

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 …

Our objective is to implement a credit risk pricing model for sovereign bonds and estimate the model for a historical …