A model of leverage based on risk sharing

DOI10.1016/J.ECONLET.2013.02.001MaRDI QIDQ2444458zbMATH OpenOpenAlexFDO

Authors Tianxi Wang

Publication date 9 April 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.02.001

zbMATH Keywords

financial intermediariesleveragerisk sharing

Mathematics Subject Classification ID

Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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Cited in

(3)

• Option-implied objective measures of market risk with leverage
• Endogenous risk in a DSGE model with capital-constrained financial intermediaries
• The impact of financial leverage on risk of equity measured by loss-oriented risk measures: an option pricing approach

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