Impact of value-at-risk models on market stability

DOI10.1016/J.JEDC.2017.07.002zbMath1401.91590OpenAlexW2733961078MaRDI QIDQ1655705

Gilbert Peffer, Bàrbara Llacay

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

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

zbMATH Keywords

value-at-riskvolatilityagent-based simulationfinancial instabilityrisk limitvolatility window

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (1)

Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks

Uses Software

• FinTS
• QRM

Cites Work

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• Asset price bubbles and crashes with near-zero-intelligence traders
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• The effects of dependent beliefs on endogenous leverage
• Leverage causes fat tails and clustered volatility
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Empirical properties of asset returns: stylized facts and statistical issues
• Analysis of Financial Time Series

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