Equilibrium asset pricing with systemic risk

DOI10.1007/S00199-007-0238-3MaRDI QIDQ926213zbMATH OpenOpenAlexFDO

Authors J. Danielsson, Jean-Pierre Zigrand

Publication date 26 May 2008

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/24823/

zbMATH Keywords

General equilibriumRisk sensitive regulationSystemic riskValue-at-risk

Mathematics Subject Classification ID

Recommendations

• Asset price bubbles, market liquidity, and systemic risk
• Default and systemic risk in equilibrium
• Asset market equilibrium with liquidity risk
• Equilibrium impact of value-at-risk regulation
• Asset pricing in a pure exchange economy with heterogeneous investors

Cites work

• Asset Prices in an Exchange Economy
• Association of Random Variables, with Applications
• Bank Runs, Deposit Insurance, and Liquidity
• Boundedness of solutions of a nonlinear nonautonomous neutral delay equation
• Coherent measures of risk
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Global Games and Equilibrium Selection
• scientific article; zbMATH DE number 3275139 (Why is no real title available?)
• Post-'87 crash fears in the S\&P 500 futures option market
• Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices

Cited in

(12)

• Portfolio diversification and systemic risk in interbank networks
• Rollover risk and endogenous network dynamics
• Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
• Market procyclicality and systemic risk
• A two price theory of financial equilibrium with risk management implications
• Equilibrium asset pricing in directed networks
• Default and systemic risk in equilibrium
• No-arbitrage pricing under systemic risk: accounting for cross-ownership
• SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE
• The price of independence in a model with unknown dependence
• Asset price bubbles, market liquidity, and systemic risk
• Equilibrium impact of value-at-risk regulation

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