The filtered crash intensity has three useful features. First, it drifts down absent a
crash, so crashes are perceived to be less likely following a long quiet period like the Great
Moderation. Second, crash realizations cause lt to jump up (Reinhart and Reinhart, 2010,
find that half of all economies that suffer a financial crisis experience aftershocks.) Third,
it jumps most from relatively low levels, a type of “Minsky moment” (1986)