Equilibrium asset pricing with systemic risk
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Publication:926213
DOI10.1007/s00199-007-0238-3zbMath1146.91026OpenAlexW2095573510MaRDI QIDQ926213
Jón Daníelsson, Jean-Pierre Zigrand
Publication date: 26 May 2008
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/24823/
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Related Items (4)
Market procyclicality and systemic risk ⋮ Portfolio diversification and systemic risk in interbank networks ⋮ The price of independence in a model with unknown dependence ⋮ Rollover risk and endogenous network dynamics
Cites Work
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- Global Games and Equilibrium Selection
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- Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
- Asset Prices in an Exchange Economy
- Association of Random Variables, with Applications
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