classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor … is strongly pro-cyclical, implying counter-cyclical intermediary leverage. The price of risk for intermediary capital …

We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … our measure is associated with increasing option expensiveness, higher risk premia for a wide range of financial assets …

We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … with increasing option expensiveness, higher risk premia for a wide range of financial assets, deterioration in funding …

We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … with increasing option expensiveness, higher risk premia for a wide range of financial assets, deterioration in funding …

This study provides empirical support for recent theoretical models that allow for time-varying rare disaster risk … the involvement of major powers. Using predictive regressions, there is no significant relation between crisis risk and … future market returns, however crisis risk is positively correlated with the earnings-price ratio and the dividend yield …