Impact of value-at-risk models on market stability

DOI10.1016/J.JEDC.2017.07.002MaRDI QIDQ1655705zbMATH OpenOpenAlexFDO

Authors Bàrbara Llacay, Gilbert Peffer

Publication date 9 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2445/114078

zbMATH Keywords

volatilityvalue-at-riskagent-based simulationfinancial instabilityrisk limitvolatility window

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Analysis of Financial Time Series
• Asset price bubbles and crashes with near-zero-intelligence traders
• Empirical properties of asset returns: stylized facts and statistical issues
• Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Leverage causes fat tails and clustered volatility
• Plight of the fortune tellers. Why we need to manage financial risk differently
• The dynamics of the leverage cycle
• The effects of dependent beliefs on endogenous leverage
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited in

(7)

• Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks
• DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?
• Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches
• Equilibrium impact of value-at-risk regulation
• A new approach to estimating value-income ratios with income growth and time-varying yields
• Quantifying the concerns of Dimon and Buffett with data and computation
• Stable modeling of value at risk

Describes a project that uses

Uses Software

• FinTS
• QRM

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