We assess the state of knowledge about crisis risk and its implications for risk management.
Data that became available after the global financial crisis show that some types of crises …

In RBC models, disaster risk shocks reproduce countercyclical risk premia but generate an
increase in consumption along the recession and asset price fall, through their effects on …

I propose a rare disaster model of an economy where the probability and intensity of climatic
disasters are proxied by CO 2 levels that are determined by inputs of carbons from the firms …

Traditional disaster models with time-varying disaster risk are not perfect in explaining asset
returns. We redefine rare economic disasters and develop a novel disaster model with long …

The recent crisis caused by COVID‐19 directly affected consumption habits and the stability
sof financial markets. In particular, the football industry has been hit hard by this pandemic …

This study examines the dynamic effects of different types of monetary policy instruments on
macroeconomic downside risks using SV-TVP-VAR Model. That is, we expand the predictive …

Recessions lead to substantial, yet not immediate drop in output. The low and often negative
growth during recessions is typically followed by a steady recovery with abnormally high …

One measure of the ex ante cost of disasters is the welfare gain from shortening their
expected duration. We introduce a stochastic clock into a standard disaster model that …

Abstract After the Lehman-Brothers collapse, the stock index has exceeded its pre-Lehman-
Brothers peak by 36% in real terms. Seemingly, markets have been demanding more stocks …

We propose a simulation-based strategy to estimate and empirically assess a class of asset
pricing models that account for rare but severe consumption contractions that can extend …