Equilibrium impact of value-at-risk regulation

DOI10.1016/j.jedc.2005.04.008zbMath1200.91140OpenAlexW3124515977MaRDI QIDQ956555

Paolo Vanini, Markus Leippold, Fabio Trojani

Publication date: 25 November 2008

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

Full work available at URL: https://fordham.bepress.com/crif_seminar_series/29

zbMATH Keywords

perturbation theoryvalue-at-riskstochastic opportunity setdynamic financial equilibriaregulatory policy

Mathematics Subject Classification ID

Related Items (9)

Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR ⋮ Evolutionary portfolio selection with liquidity shocks ⋮ Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading ⋮ Risk management with expected shortfall ⋮ Portfolio choices and VaR constraint with a defaultable asset ⋮ Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord ⋮ MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS ⋮ Optimal portfolio choice and consistent performance ⋮ Utility-Deviation-Risk Portfolio Selection

Cites Work

• Coherent Measures of Risk
• Robustness and Ambiguity Aversion in General Equilibrium *
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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