Equilibrium impact of value-at-risk regulation

Journal of Economic Dynamics and Control

Volumn 30, Issue 8, 2006, Pages 1277-1313

  Leippold, Markus ^a   Trojani, Fabio ^b   Vanini, Paolo ^a  

^a UNIVERSITY OF ZURICH   (Switzerland)

^b UNIVERSITY OF ST GALLEN   (Switzerland)

Author keywords

Dynamic financial equilibria; Perturbation theory; Regulatory policy; Stochastic opportunity set; Value at risk

Indexed keywords

EID: 33745747913     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2005.04.008     Document Type: Article

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