Yanhui Zhu's Outputs (2)

Credit risk premium in a disaster-prone world (2008)
Presentation / Conference Contribution

The seminal Barro (2006) closed-economy model of the equity risk premium in the presence of extreme events("disasters") allowed for leverage in the form of risky corporate debt which defaulted only in states when the Government defaulted on its debt.... Read More about Credit risk premium in a disaster-prone world.

Rare disasters and the equity risk premium in a two-country world (2008)
Presentation / Conference Contribution

We extend the Barro (2006) closed-economy model of the equity risk premium in the presence of extreme events ("disasters") to a two-country world. In this more general setting, both the output risk of rare disasters and the associated risk of a defau... Read More about Rare disasters and the equity risk premium in a two-country world.