Impact of value-at-risk models on market stability
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Publication:1655705
DOI10.1016/J.JEDC.2017.07.002zbMATH Open1401.91590OpenAlexW2733961078MaRDI QIDQ1655705FDOQ1655705
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
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Cites Work
- Analysis of Financial Time Series
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- Empirical properties of asset returns: stylized facts and statistical issues
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Plight of the fortune tellers. Why we need to manage financial risk differently
- Leverage causes fat tails and clustered volatility
- Asset price bubbles and crashes with near-zero-intelligence traders
- Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
- The dynamics of the leverage cycle
- The effects of dependent beliefs on endogenous leverage
Cited In (7)
- Stable modeling of value at risk
- Quantifying the concerns of Dimon and Buffett with data and computation
- Equilibrium impact of value-at-risk regulation
- A new approach to estimating value-income ratios with income growth and time-varying yields
- DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?
- Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks
- Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches
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