Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former are extreme events by definition and the latter can accelerate adverse market developments. This work disentangles the two sources and examines which one does the greater damage...

The severity of extreme weather events is increasing due to climate change, giving rise to physical climate risk. However, physical climate risk is not only driven by the severity of individual hazards, but also by the interdependence of those hazards. This paper establishes bounds for the...

How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress test results matter? To answer these questions, we study the impact of European stress tests on banks' lending, their corresponding risk-taking, the ensuing effect on their...

The opposition in a number of countries to the inclusion of nuclear energy in a sustainable energy portfolio, in part due to the dread of what the “nuclear” word inspires, has limited quantitative scientific foundation of the real benefits and risks. This has been amplified by the lack of a...

We investigate whether corporate finance incentives affect the extent of corporate hedging with property insurance. Using a database that contains detailed insurance information, we show that firms buy property insurance to reduce the expected costs of distress. Further, we document a scale...

Financial risk and longevity risk are the main risks affecting pension income. This paper analyses gender differences related to how financial risk taking and survival expectations are correlated. We analyse data from the “Survey of Health, Ageing and Retirement in Europe” (SHARE) database...

Treating the Russian invasion of Ukraine as a rare disaster event and defining proximity as both physical distance and political closeness, we analyze investors’ response to disaster risk by examining the performance of commercial real estate investments in countries of proximity to the event....

We provide a roadmap to understand and develop resilience, based on the realisation that resilience is the complement of risk, both being associated to the stresses supported by the socio-economic system. We propose instruments for resilience build-up and management based on a novel...

The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in [BRSW04], [Ro08], [BMK09], [BP10], and [LV19]. In particular, we believe that quantifying market risk by strictly relying on...