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The impact of risk regulation on price dynamcis
Daníelsson, Jón; Shin, Hyun Song; Zigrand, Jean-Pierre - In: Journal of banking & finance 28 (2004) 5, pp. 1069-1087
Persistent link: https://www.econbiz.de/10002006793
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Financial intermediary leverage and value-at-risk
Adrian, Tobias (contributor); Shin, Hyun Song (contributor) - 2008
loss distribution is exponential, the behavior of intermediaries conforms to the Value-at-Risk (VaR) rule, in which …
Persistent link: https://www.econbiz.de/10003781655
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Procyclical leverage and value-at-risk
Adrian, Tobias; Shin, Hyun Song - In: The review of financial studies 27 (2014) 2, pp. 373-403
Persistent link: https://www.econbiz.de/10010357216
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Procyclical Leverage and Value-at-Risk
Adrian, Tobias - 2013
. Empirically, we find that intermediary leverage is negatively aligned with the banks' Value-at-Risk (VaR). Motivated by the … explicitly, thereby endogenizing the VaR threshold probability from the contracting problem …
Persistent link: https://www.econbiz.de/10013083803
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Procyclical leverage and value-at-risk
Adrian, Tobias; Shin, Hyun Song - 2013
Persistent link: https://www.econbiz.de/10009737670
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Procyclical Leverage and Value-at-Risk
Adrian, Tobias - 2013
. Empirically, we find that intermediary leverage is negatively aligned with the banks' Value-at-Risk (VaR). Motivated by the … explicitly, thereby endogenizing the VaR threshold probability from the contracting problem …
Persistent link: https://www.econbiz.de/10012459718
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Gauging procyclicality and financial vulnerability in Asia through the BIS banking and financial statistics
Avdjiev, Stefan; Berger, Bat-el; Shin, Hyun Song - In: The Asian Monetary Policy Forum : insights for central …, (pp. 224-262). 2021
Persistent link: https://www.econbiz.de/10013275495
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Gauging Procyclicality and Financial Vulnerability in Asia Through the BIS Banking and Financial Statistics
Avdjiev, Stefan - 2018
We look back at past episodes of financial stress in Asia with a forward-looking perspective. We put ourselves in the shoes of a contemporary observer with the data at hand and ask what evidence was available on the systematic build-up of vulnerabilities. We reconstruct a graphical narrative of...
Persistent link: https://www.econbiz.de/10012914110
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Risk and liquidity
Shin, Hyun Song - 2010
Persistent link: https://www.econbiz.de/10003929101
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Asset price dynamics with value-at-risk constrained traders
Daníelsson, Jón; Shin, Hyun Song; Zigrand, Jean-Pierre - 2001
Persistent link: https://www.econbiz.de/10001622267