메뉴 건너뛰기




Volumn 12, Issue 3, 2010, Pages 561-586

Social welfare analysis in a financial economy with risk regulation

Author keywords

[No Author keywords available]

Indexed keywords


EID: 77954015842     PISSN: 10973923     EISSN: 14679779     Source Type: Journal    
DOI: 10.1111/j.1467-9779.2010.01464.x     Document Type: Article
Times cited : (1)

References (30)
  • 2
    • 0036193218 scopus 로고    scopus 로고
    • Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
    • ALEXANDER G, BAPTISTA A. Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis. Journal of Economic Dynamics and Control 2002, 26:1159-1193.
    • (2002) Journal of Economic Dynamics and Control , vol.26 , pp. 1159-1193
    • Alexander, G.1    Baptista, A.2
  • 3
    • 4944255711 scopus 로고    scopus 로고
    • A comparison of VaR and CVaR constraints on portfolio selection with the mean-variance model
    • ALEXANDER G, BAPTISTA A. A comparison of VaR and CVaR constraints on portfolio selection with the mean-variance model. Management Science 2004, 50:1261-1273.
    • (2004) Management Science , vol.50 , pp. 1261-1273
    • Alexander, G.1    Baptista, A.2
  • 4
    • 33748926438 scopus 로고    scopus 로고
    • Does the basel capital accord reduce bank fragility? An assessment of the value-at-risk approach
    • ALEXANDER G, BAPTISTA A. Does the basel capital accord reduce bank fragility? An assessment of the value-at-risk approach. Journal of Monetary Economics 2006, 53:1631-1660.
    • (2006) Journal of Monetary Economics , vol.53 , pp. 1631-1660
    • Alexander, G.1    Baptista, A.2
  • 7
    • 0035592442 scopus 로고    scopus 로고
    • Value-at-Risk based risk management: Optimal policies and asset prices
    • BASAK S, SHAPIRO A. Value-at-Risk based risk management: Optimal policies and asset prices. Review of Financial Studies 2001, 14:371-405.
    • (2001) Review of Financial Studies , vol.14 , pp. 371-405
    • Basak, S.1    Shapiro, A.2
  • 8
    • 0003484706 scopus 로고    scopus 로고
    • Overview of the amendment to the capital accord to incorporate market risk
    • Overview of the amendment to the capital accord to incorporate market risk. 1996
    • (1996)
  • 12
  • 13
    • 60649120835 scopus 로고    scopus 로고
    • Optimal dynamic trading strategies with risk limits
    • CUOCO D, HE H, ISSAENKO S. Optimal dynamic trading strategies with risk limits. Operations Research 2008, 56:358-368.
    • (2008) Operations Research , vol.56 , pp. 358-368
    • Cuoco, D.1    He, H.2    Issaenko, S.3
  • 14
    • 1942467329 scopus 로고    scopus 로고
    • Value-at-risk vs. building block regulation in banking
    • DANGL T, LEHAR A. Value-at-risk vs. building block regulation in banking. Journal of Financial Intermediation 2004, 13:96-131.
    • (2004) Journal of Financial Intermediation , vol.13 , pp. 96-131
    • Dangl, T.1    Lehar, A.2
  • 15
    • 0036074264 scopus 로고    scopus 로고
    • The emperor has no clothes: Limits to risk modelling
    • DANÍELSSON J. The emperor has no clothes: Limits to risk modelling. Journal of Banking and Finance 2002, 26:1273-1296.
    • (2002) Journal of Banking and Finance , vol.26 , pp. 1273-1296
    • DaníElsson, J.1
  • 16
    • 0005876751 scopus 로고    scopus 로고
    • What happens when you regulate risk? Evidence from a simple equilibrium model
    • FMG Discussion Papers
    • DANÍELSSON J, ZIGRAND J P. What happens when you regulate risk? Evidence from a simple equilibrium model. 2003, FMG Discussion Papers
    • (2003)
    • Daníelsson, J.1    Zigrand, J.P.2
  • 17
    • 39449113259 scopus 로고    scopus 로고
    • Equilibrium asset pricing with systemic risk
    • DANÍELSSON J, ZIGRAND J P. Equilibrium asset pricing with systemic risk. Economic Theory 2008, 35:293-319.
    • (2008) Economic Theory , vol.35 , pp. 293-319
    • Daníelsson, J.1    Zigrand, J.P.2
  • 20
    • 24344500595 scopus 로고    scopus 로고
    • Default and punishment in general equilibrium
    • GEANAKOPLOS J, DUBEY P, SHUBIK M. Default and punishment in general equilibrium. Econometrica 2005, 73:1-37.
    • (2005) Econometrica , vol.73 , pp. 1-37
    • Geanakoplos, J.1    Dubey, P.2    Shubik, M.3
  • 23
    • 34248137969 scopus 로고    scopus 로고
    • Basel's value-at-risk capital requirement regulation: An efficiency analysis
    • KAPLANSKI G, LEVY H. Basel's value-at-risk capital requirement regulation: An efficiency analysis. Journal of Banking and Finance 2007, 31:1887-1906.
    • (2007) Journal of Banking and Finance , vol.31 , pp. 1887-1906
    • Kaplanski, G.1    Levy, H.2
  • 29
  • 30
    • 0347603907 scopus 로고    scopus 로고
    • Optimal portfolios under a value-at-risk constraint
    • YIU K. Optimal portfolios under a value-at-risk constraint. Journal of Economic Dynamics and Control 2004, 28:1317-1334.
    • (2004) Journal of Economic Dynamics and Control , vol.28 , pp. 1317-1334
    • Yiu, K.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.