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Comment on "Endogenous and Systemic Risk"

In: Quantifying Systemic Risk

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  • Bruce Mizrach

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This chapter was published in:

  • Joseph G. Haubrich & Andrew W. Lo, 2013. "Quantifying Systemic Risk," NBER Books, National Bureau of Economic Research, Inc, number haub10-1, October.
    This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number 12055.

    Handle: RePEc:nbr:nberch:12055

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers, Financial Markets Group dp580, Financial Markets Group.
    2. Jean-Pierre Zigrand & Jon Danielsson, 2006. "Equilibrium Asset Pricing with Systemic Risk," FMG Discussion Papers, Financial Markets Group dp561, Financial Markets Group.
    3. Bruce Mizrach, 2008. "Jump and Cojump Risk in Subprime Home Equity Derivatives," Departmental Working Papers, Rutgers University, Department of Economics 200802, Rutgers University, Department of Economics.
    4. Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004. "The impact of risk regulation on price dynamics," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(5), pages 1069-1087, May.
    5. Tobias Adrian & Emanuel Moench & Hyun Song Shin, 2010. "Financial intermediation, asset prices, and macroeconomic dynamics," Staff Reports, Federal Reserve Bank of New York 422, Federal Reserve Bank of New York.
    6. Tobias Adrian & Hyun Song Shin, 2008. "Liquidity and leverage," Staff Reports, Federal Reserve Bank of New York 328, Federal Reserve Bank of New York.
    7. Tobias Adrian & Hyun Song Shin, 2008. "Financial intermediary leverage and value at risk," Staff Reports, Federal Reserve Bank of New York 338, Federal Reserve Bank of New York.
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    Cited by:
    1. María Rodríguez-Moreno & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Derivatives Holdings and Systemic Risk in the U.S. Banking Sector," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 21/12, School of Economics and Business Administration, University of Navarra.

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