We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …

We develop and estimate a dynamic model of risk-shifting over the business cycle. First, equity holders with Epstein …-Zin preferences increase their taking of idiosyncratic risk substantially more than the standard model in repeated games, because they … "synchronized'' idiosyncratic risk. Third, combined with high market risk premium in the bad states, the clustered risk …

The risk appetite of insurance companies fluctuates over time in a quasi cyclical fashion. When their capitalization is …-standing empirical evidence on underwriting cycles and more recent evidence on the fluctuations of insurance companies’ risk appetite …