The effects of dependent beliefs on endogenous leverage

DOI10.1016/J.JMATECO.2017.08.001MaRDI QIDQ1680144zbMATH OpenOpenAlexFDO

Authors Matthew Hoelle

Publication date 22 November 2017

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2017.08.001

zbMATH Keywords

collateralcopulasheterogeneous beliefsleverageportfolio effects

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Portfolio theory (91G10)

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Cites work

• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• An introduction to copulas.
• Belief disagreements and collateral constraints
• Collateral equilibrium. I: A basic framework
• Collateral restrictions and liquidity under-supply: a simple model
• Collateralized borrowing and increasing risk
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Leverage and default in binomial economies: a complete characterization
• Why does bad news increase volatility and decrease leverage?

Cited in

(3)

• Impact of value-at-risk models on market stability
• A model of leverage based on risk sharing
• Belief disagreements and collateral constraints

Describes a project that uses

Uses Software

• QRM

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