• I. Introduction
  • II. The Economy
  • III. Learning
  • A. Belief Dynamics
  • B. Characteristics of Disaster and Recovery Processes
  • IV. Model results
  • A. Aggregate Endowment and Endowment Share Dynamics
  • B. Equilibrium interest rate and risk premia
  • C. Price-Dividend Ratios, Risk Premia and Returns Volatility
  • V. Correlations
  • A. Trees event correlations
  • B. Assets return correlations
  • C. Disaster Contagion and Security Price Contagion
  • VI. Term structure of credit-spreads
  • VII. Conclusions
  • References
  • Appendix A: Proofs
  • Appendix B: A Simple Illustrative Calibration