We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among …

Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast … role in shaping risk, although its effects are smaller than those of financial shocks. These findings are obtained using a …