Salience, systemic risk and spectral risk measures as capital requirements
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Publication:2246646
DOI10.1016/J.JEDC.2021.104085zbMath1475.91389OpenAlexW3132594894MaRDI QIDQ2246646
Publication date: 16 November 2021
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104085
probability weightingsystemic riskspectral risk measurescapital requirementsmacroprudential regulation
Statistical methods; risk measures (91G70) General equilibrium theory (91B50) Heterogeneous agent models (91B69) Financial networks (including contagion, systemic risk, regulation) (91G45)
Cites Work
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- The Midweight Method to Measure Attitudes Toward Risk and Ambiguity
- Parameter-Free Elicitation of Utility and Probability Weighting Functions
- Risk and Rationality: Uncovering Heterogeneity in Probability Distortion
- Really Uncertain Business Cycles
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