Salience, systemic risk and spectral risk measures as capital requirements

DOI10.1016/J.JEDC.2021.104085zbMath1475.91389OpenAlexW3132594894MaRDI QIDQ2246646

Branka Matyska

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

zbMATH Keywords

probability weightingsystemic riskspectral risk measurescapital requirementsmacroprudential regulation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) General equilibrium theory (91B50) Heterogeneous agent models (91B69) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Dynamic portfolio choice and asset pricing with narrow framing and probability weighting
• Quantal response equilibrium and overbidding in private-value auctions
• Collateral restrictions and liquidity under-supply: a simple model
• Advances in prospect theory: cumulative representation of uncertainty
• Risk averse behavior in generalized matching pennies games.
• Risky bank lending and countercyclical capital buffers
• 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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