In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … optimal deals by finding the portfolio weights in an asset demand system that targets return and risk. Extrapolating wildfire …

) skewed and fat-tailed beliefs about the impact of natural disaster risk across space and time dimensions at daily frequency … over two decades. First, wildfires affect investors' risk neutral probabilities at short and long maturities; investors … price asymmetric downward tail risk and a probability of upward jumps. The volatility smile is more pronounced. Second …

Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry …