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Citations for "The impact of risk regulation on price dynamics"

by Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre

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  1. Hakenes, Hendrik & Schnabel, Isabel, 2011. "Bank size and risk-taking under Basel II," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(6), pages 1436-1449, June.
  2. Rama Cont & Lakshithe Wagalath, 2013. "Fire sales forensics: measuring endogenous risk," Working Papers 2014-ACF-01, IESEG School of Management.
  3. Samer Eid, 2011. "Monetary policy, risk-taking channel and income structure: an empirical assessment of the French banking system," Post-Print dumas-00643715, HAL.
  4. Liu, Xiangbo & Qiu, Zhigang & Xiong, Yan, 2013. "VaR constrained asset pricing with relative performance," Economics Letters, Elsevier, vol. 121(2), pages 174-178.
  5. Hyun Song Shin & Stephen Morris, 2004. "Liquidity Black Holes," Econometric Society 2004 North American Winter Meetings 620, Econometric Society.
  6. Altunbas, Yener & Gambacorta, Leonardo & Marques-Ibanez, David, 2010. "Bank risk and monetary policy," Journal of Financial Stability, Elsevier, Elsevier, vol. 6(3), pages 121-129, September.
  7. Mark Carey & Rene M. Stulz, 2005. "The Risks of Financial Institutions," NBER Working Papers 11442, National Bureau of Economic Research, Inc.
  8. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
  9. Claudio E. V. Borio, 2004. "Market distress and vanishing liquidity: anatomy and policy options," BIS Working Papers 158, Bank for International Settlements.
  10. Adrian, Tobias & Shin, Hyun Song, 2010. "Liquidity and leverage," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 19(3), pages 418-437, July.
  11. Bruce Mizrach, 2012. "Comment on "Endogenous and Systemic Risk"," NBER Chapters, in: Quantifying Systemic Risk, pages 94-105 National Bureau of Economic Research, Inc.
  12. Namho Kang & Peter Kondor & Ronnie Sadka, 2012. "Do Hedge Funds Reduce Idiosyncratic Risk?," CEU Working Papers, Department of Economics, Central European University 2012_15, Department of Economics, Central European University, revised 04 Oct 2012.
  13. Bijapur, Mohan & Croci, Manuela & Zaidi, Rida, 2012. "Do Asset Regulations Impede Portfolio Diversification? Evidence from European Life Insurance Funds," MPRA Paper 54265, University Library of Munich, Germany.
  14. Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2012. "Does monetary policy affect bank risk?," Working Papers 12002, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  15. Borio, Claudio & Tsatsaronis, Kostas, 2004. "Accounting and prudential regulation: from uncomfortable bedfellows to perfect partners?," Journal of Financial Stability, Elsevier, Elsevier, vol. 1(1), pages 111-135, September.
  16. Leonardo Gambacorta, 2009. "Monetary policy and the risk-taking channel," BIS Quarterly Review, Bank for International Settlements, December.
  17. Ekin Ayse Ozsuca & Elif Akbostanci, 2012. "An Empirical Analysis of the Risk Taking Channel of Monetary Policy in Turkey," ERC Working Papers 1208, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
  18. Tommaso Trani, 2012. "Countercyclical Capital Regulation and Bank Ownership Structure," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies 14-2012, Economics Section, The Graduate Institute of International Studies.
  19. Claudio E. V. Borio & Kostas Tsatsaronis, 2005. "Accounting, prudential regulation and financial stability: elements of a synthesis," BIS Working Papers 180, Bank for International Settlements.
  20. Veronica Guerrieri & Peter Kondor, 2010. "Fund managers, career concerns, and asset price volatility," Staff Report, Federal Reserve Bank of Minneapolis 446, Federal Reserve Bank of Minneapolis.
  21. Benjamin M. Tabak & Marcela T. Laiz & Daniel O. Cajueiro, 2010. "Financial Stability and Monetary Policy - The case of Brazil," Working Papers Series, Central Bank of Brazil, Research Department 217, Central Bank of Brazil, Research Department.
  22. Claudio Borio & Haibin Zhu, 2008. "Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?," BIS Working Papers 268, Bank for International Settlements.
  23. Jon Danielsson & Jean-Pierre Zigrand, 2006. "Equilibrium asset pricing with systemic risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24515, London School of Economics and Political Science, LSE Library.
  24. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
  25. O'Brien, James M. & Szerszen, Pawel J., 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-21, Board of Governors of the Federal Reserve System (U.S.).
  26. Altunbas, Yener & Gambacorta, Leonardo & Marqués-Ibáñez, David, 2010. "Does monetary policy affect bank risk-taking?," Working Paper Series, European Central Bank 1166, European Central Bank.
  27. Ali, Asghar & Daly, Kevin, 2010. "Macroeconomic determinants of credit risk: Recent evidence from a cross country study," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 165-171, June.
  28. Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010. "Risk Appetite and Endogenous Risk," FMG Discussion Papers, Financial Markets Group dp647, Financial Markets Group.
  29. Claudio E. V. Borio & Kostas Tsatsaronis, 2006. "Risk in financial reporting: status, challenges and suggested directions," BIS Working Papers 213, Bank for International Settlements.
  30. Christoph Aymanns & J. Doyne Farmer, 2014. "The dynamics of the leverage cycle," Papers 1407.5305, arXiv.org, revised Aug 2014.
  31. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, Springer, vol. 10(3), pages 169-196, September.
  32. Kang, Namho & Kondor, Péter & Sadka, Ronnie, 2011. "Idiosyncratic Return Volatility in the Cross-Section of Stocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8307, C.E.P.R. Discussion Papers.
  33. Claudio Borio, 2012. "The financial cycle and macroeconomics: What have we learnt?," BIS Working Papers 395, Bank for International Settlements.