Disaster risk and its implications for asset pricing

After lying dormant for more than two decades, the rare disaster framework has emerged as a leading contender to explain facts about the aggregate market, interest rates, and financial derivatives. In this article, we survey recent models of disaster risk that provide explanations for the equity pre...

詳細記述

書誌詳細
主要な著者: Tsai, J, Wachter, J
フォーマット: Journal article
出版事項: Annual Reviews 2015