a production economy featuring long-run productivity and temperature volatility risk. In the model temperature …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock …We examine if extreme weather exposure impacts firms’ cost of equity. Motivated by a consumption-based asset pricing … risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between …

We consider the modelling of credit migration risk and the pricing of migration derivatives. This enlarges the … traditional setup where credit risk is based on a specificate migration state, i.e. the default one. To construct a Point …-in-Time rating migration matrix as underlying value for the derivative pricing we implement the Regime Shifting Markov Mixture model …