Equilibrium impact of value-at-risk regulation
type: Item
instance of: scholarly article
title: Equilibrium impact of value-at-risk regulation
zbMATH Open document ID: 1200.91140
author: Markus Leippold
author: Fabio Trojani
author: Paolo Vanini
publication date: 2008-11-25T00:00:00Z
full work available at URL: https://fordham.bepress.com/crif_seminar_series/29
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 5373183
zbMATH Keywords: value-at-risk
zbMATH Keywords: stochastic opportunity set
zbMATH Keywords: regulatory policy
zbMATH Keywords: dynamic financial equilibria
zbMATH Keywords: perturbation theory
MaRDI profile type: Publication
OpenAlex ID: W3124515977
cites work: Coherent measures of risk
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Robustness and Ambiguity Aversion in General Equilibrium *
DOI: 10.1016/J.JEDC.2005.04.008
published in: Journal of Economic Dynamics and Control
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description: scientific article; zbMATH DE number 5373183