The impact of risk regulation on price dynamics
Year of publication: |
2004-05
|
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Authors: | Danielsson, Jon ; Shin, Hyun Song ; Zigrand, Jean-Pierre |
Institutions: | London School of Economics (LSE) |
Subject: | Value-at-risk | Simulation | Basel II | Regulation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Journal of Banking and Finance, May, 2004, 28(5), pp. 1069-1087. ISSN: 0378-4266 |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; G1 - General Financial Markets ; G18 - Government Policy and Regulation |
Source: |
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Jacobson, Tord, (2003)
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Jacobson, Tor, (2004)
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Jacobson, Tor, (2004)
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Balance sheet capacity and endogenous risk
Danielsson, Jon, (2011)
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On time-scaling of risk and the square–root–of–time rule
Danielsson, Jon, (2003)
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Equilibrium asset pricing with systemic risk
Danielsson, Jon, (2006)
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