Impact of value-at-risk models on market stability
type: Item
instance of: scholarly article
title: Impact of value-at-risk models on market stability
zbMATH Open document ID: 1401.91590
author: Bàrbara Llacay
author: Gilbert Peffer
publication date: 2018-08-09T00:00:00Z
full work available at URL: http://hdl.handle.net/2445/114078
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6915651
zbMATH Keywords: value-at-risk
zbMATH Keywords: agent-based simulation
zbMATH Keywords: financial instability
zbMATH Keywords: volatility
zbMATH Keywords: risk limit
zbMATH Keywords: volatility window
describes a project that uses: QRM
describes a project that uses: FinTS
MaRDI profile type: Publication
OpenAlex ID: W2733961078
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DOI: 10.1016/J.JEDC.2017.07.002
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6915651