We extend the classical compound Poisson risk model to consider the distribution of the maximum surplus before ruin where the claim sizes depend on inter-claim times via the Farlie-Gumbel-Morgenstern copula. We derive an integro-differential equation with certain boundary conditions for this...

We consider a risk-averse entrepreneur who invests in a project with idiosyncratic risk and takes debt financing for diversification benefits. In contrast to the literature, we assume the entrepreneur is unable to get a loan from a bank directly because of the low creditability of the...

We study the corporate finance implications of risky inalienable human capital for a risk-averse entrepreneur. We show how liquidity and risk management policies coordinate investment and executive compensation policies to efficiently retain managerial talent and honor corporate liabilities. The...

We develop a dynamic theory of capital structure, liquidity and risk management, and payout policies for a financially constrained firm under incomplete markets. In addition to costly external equity financing, the key friction we emphasize is limited financial spanning. We show that the...

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an epidemic model and link valuations to infections via an asset-pricing framework with vaccines. Infections lower earnings growth but firms can mitigate damages. We estimate a...

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an epidemic model and link valuations to infections by using an asset-pricing framework that accounts for vaccines. Infections lower earnings growth but firms can mitigate damages....

Emissions control cannot address the consequences of global warming for weather disasters until decades later. We model regional-level mitigation, which reduces aggregate disaster risks to capital stock in the interim. Unexpected disaster arrivals increase belief regarding the adverse...