Capital adequacy rules, catastrophic firm failure, and systemic risk

DOI10.1007/s11147-013-9088-2zbMath1276.91101OpenAlexW3121845255MaRDI QIDQ385654

Robert A. Jarrow

Publication date: 2 December 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-013-9088-2

zbMATH Keywords

value at risksystemic riskcatastrophic failureleverage ratios

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Probability essentials
• Put Option Premiums and Coherent Risk Measures
• An Introduction to Credit Risk Modeling