Using German panel data and plant closure as an exogenous unemployment shock, we show that job loss affects individual risk-taking in very heterogeneous ways: Those who experience involuntary job loss and quick reemployment report a significant rise in risk aversion. We also find some evidence that individuals who stay unemployed report a drop in risk aversion. In addition, we observe strong anticipation of the risk-taking effects of job loss as well as reversion of the effects over time.