Study of disaster risk models

Recent studies tried to explain puzzles in asset pricing theory within a frame of disaster models. In my study I examine baseline parameters like probability of disaster and disaster size and try to make a better estimate for both of them. Furthermore I imply a standard constant probability disaster model for blocks of developed and less developed economies to challenge if disaster models can explain different equity premium rates and risk-free rates in different economies. I found that a constant probability disaster model cannot explain simultaneously high equity premiums and low risk-free rates even if I use a sample of split data for developed and less developed economies.

Autorentext

Iwona Lewicka has finished Business Administration at University of Vienna. Her main Interest lies in financial mathematic and financial econometry. Additionally, she has attended the mathematical faculty to expand her knowledge. In her master thesis she applied stochastic disaster models in order to explain puzzles in finance.