Rare disasters: a model to capture implications, peculiarities and policy insights
Mastroianni, Nicolò (A.A. 2024/2025) Rare disasters: a model to capture implications, peculiarities and policy insights. Tesi di Laurea in Financial economics, Luiss Guido Carli, relatore Nicola Borri, pp. 83. [Master's Degree Thesis]
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Abstract/Index
Literature review. From Rietz’s idea to barro’s empirical measurements. Time-varying severity and probability. Volatility and exchange rates. A new method for estimating disaster probability. Methods. The model. Results. Calibration. Disaster realization with aggregate model. Temporary increase in disaster probability with aggregate model. First and second moments of quantities and asset returns. Relations between asset prices and macroeconomic quantities. Differences in impact between the various types of rare disaster. Policy implications of different rare disasters. Robustness and extensions. Comovement and consumption response. Modeling disasters. Sensitivity analysis.
References
Bibliografia: pp. 68-72.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Financial economics |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Morelli, Giacomo |
| Academic Year: | 2024/2025 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 23 Oct 2025 14:55 |
| Last Modified: | 23 Oct 2025 14:55 |
| URI: | https://tesi.luiss.it/id/eprint/43527 |
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