Equilibrium impact of value-at-risk regulation
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Publication:956555
DOI10.1016/j.jedc.2005.04.008zbMath1200.91140MaRDI QIDQ956555
Fabio Trojani, Paolo Vanini, Markus Leippold
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://fordham.bepress.com/crif_seminar_series/29
perturbation theory; value-at-risk; stochastic opportunity set; dynamic financial equilibria; regulatory policy
91G80: Financial applications of other theories
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