This paper reviews recent developments in macro and finance on the relationship between financial risk and the real …-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …

downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …

, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and … in relation to fundamentals entails a higher risk of a crash. …

risk premia from the perspective of the standard consumption-based asset pricing model. The relation arises from the fact … consumption of the representative investor. Since the pricing kernel is a function of aggregate consumption, financial risk premia … average risk premia prevailing during the so-called Great Moderation, namely the period preceding the recent turmoil in …

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns …. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on …. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of … returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk … measures or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to …