The effects of dependent beliefs on endogenous leverage

DOI10.1016/J.JMATECO.2017.08.001zbMath1415.91264OpenAlexW2757509575MaRDI QIDQ1680144

Matthew Hoelle

Publication date: 22 November 2017

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2017.08.001

zbMATH Keywords

collateralcopulasleverageheterogeneous beliefsportfolio effects

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Portfolio theory (91G10)

Related Items (1)

Impact of value-at-risk models on market stability

Uses Software

• QRM

Cites Work

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• Collateral equilibrium. I: A basic framework
• Why does bad news increase volatility and decrease leverage?
• Collateralized borrowing and increasing risk
• An introduction to copulas.
• Collateral restrictions and liquidity under-supply: a simple model
• Belief Disagreements and Collateral Constraints
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Leverage and Default in Binomial Economies: A Complete Characterization

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