Regulation risk

DOI10.1080/10920277.2019.1679189MaRDI QIDQ5140098zbMATH OpenOpenAlexFDO

Authors Olivier Le Courtois, Jacques Lévy-Véhel, Christian Walter

Publication date 13 December 2020

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2019.1679189

zbMATH Keywords

market risk regulationsrisk swap effect

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45) Statistical methods; risk measures (91G70)

Recommendations

• Equilibrium impact of value-at-risk regulation
• scientific article; zbMATH DE number 1538076
• On the conditional default probability in a regulated market with jump risk
• Value-at-risk in a market subject to regime switching
• Capital adequacy rules, catastrophic firm failure, and systemic risk

Cites work

• Extreme financial risks and asset allocation
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1493045 (Why is no real title available?)
• scientific article; zbMATH DE number 793985 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Option pricing based on geometric stable processes and minimal entropy martingale measures
• Research of scaling law on stock market variations
• Stable modeling of value at risk
• Testing whether jumps have finite or infinite activity
• The pricing of options and corporate liabilities
• Value-at-risk and asset allocation with stable return distributions

Cited in

(4)

• Regulation of a risk averse firm
• Financial regulation, non-compliance risks and control: a statistical approach
• Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk
• scientific article; zbMATH DE number 2247520 (Why is no real title available?)

This page was built for publication: Regulation risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5140098)