This paper shows that standard disaster risk models are inconsistent with movements in stock market volatility and credit spreads during disasters. We resolve this shortcoming by incorporating persistent macroeconomic crises into a structural credit risk model. The model successfully captures the joint dynamics of aggregate consumption, financial leverage, and asset market risks, both unconditionally and during crises. Leverage strongly amplifies fundamental shocks by continuing to rise while crises endure. We structurally estimate the model and show that it replicates the firm-level implied volatility curve and its cross-sectional relation with observable proxies of default risk.

中文翻译：

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持续危机和杠杆资产价格

本文表明，标准灾害风险模型与灾害期间股市波动和信用利差的变化不一致。我们通过将持续的宏观经济危机纳入结构性信用风险模型来解决这一缺陷。该模型成功地捕捉了无条件和危机期间总消费、金融杠杆和资产市场风险的联合动态。杠杆在危机持续期间继续上升，从而极大地放大了基本面冲击。我们对模型进行结构性估计，并表明它复制了公司层面的隐含波动率曲线及其与可观察到的违约风险代理的横截面关系。