shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic … probability of disaster leads to a collapse of investment and a recession, an increase in risk spreads, and a decrease in the …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which … specifications for the stochastic rare disaster probability and show that the data favor a multifrequency process. Finally, we show …

Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U ….S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This … paper shows that standard U.S.-based disaster risk model assumptions found in the literature lead to counterfactual …

regional-level mitigation or adaptation, which reduces disaster risks to capital in the interim. Mitigation depends on belief … regarding the adverse consequences of global warming. Pessimism jumps with a disaster and slowly reverts in the absence of … increasing cyclone frequency. For a typical country exposed to cyclones, a disaster arrival not only damages its capital stock …

We model the equilibrium price and quantity of risk transfer between firms and financial intermediaries. Value …-maximizing firms have downward sloping demands to cede risk, while intermediaries, who assume risk, provide less …

with natural hazards, such as hurricanes and earthquakes. Risk management theory suggests protection by insurers and other …This paper examines the market for catastrophe event risk i.e., financial claims that are linked to losses associated …, especially after cat events. We then examine clinical evidence to understand why the theory fails. Specifically, we examine …

with natural hazards, such as hurricanes and earthquakes. Risk management theory suggests protection by insurers and other …This paper examines the market for catastrophe event risk i.e., financial claims that are linked to losses associated …, especially after cat events. We then examine clinical evidence to understand why the theory fails. Specifically, we examine …

What is the best way to incorporate a risk premium into the discount rate schedule for a real investment project with …