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Equilibrium impact of value-at-risk regulation

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  • Leippold, Markus
  • Trojani, Fabio
  • Vanini, Paolo

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  • Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August.
    • Handle: RePEc:eee:dyncon:v:30:y:2006:i:8:p:1277-1313
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    References listed on IDEAS

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    1. Claudio Borio, 2003. "Towards a Macroprudential Framework for Financial Supervision and Regulation?," CESifo Economic Studies, CESifo, vol. 49(2), pages 181-215.
    2. Jean-Pierre Zigrand & Jon Danielsson & Hyun Song Shin, 2001. "Asset Price Dynamics with Value-at-Risk Constrained Traders," FMG Discussion Papers dp394, Financial Markets Group.
    3. Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 371-405.
    4. Fabio Trojani & Paolo Vanini, 2004. "Robustness and Ambiguity Aversion in General Equilibrium," Review of Finance, European Finance Association, vol. 8(2), pages 279-324.
    5. Robert C. Merton, 1993. "Optimal Investment Strategies for University Endowment Funds," NBER Chapters, in: Studies of Supply and Demand in Higher Education, pages 211-242, National Bureau of Economic Research, Inc.
    6. Leonid Kogan & Raman Uppal, "undated". "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," Rodney L. White Center for Financial Research Working Papers 13-00, Wharton School Rodney L. White Center for Financial Research.
    7. Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.
    8. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    9. John T. Scruggs, 1998. "Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-Factor Approach," Journal of Finance, American Finance Association, vol. 53(2), pages 575-603, April.
    10. Jérôme Detemple & Shashidhar Murthy, 1997. "Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints," CIRANO Working Papers 97s-12, CIRANO.
    11. Whitelaw, Robert F, 2000. "Stock Market Risk and Return: An Equilibrium Approach," Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 521-547.
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    Citations

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    Cited by:

    1. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
    2. Domenico Cuoco & Hua He & Sergei Isaenko, 2008. "Optimal Dynamic Trading Strategies with Risk Limits," Operations Research, INFORMS, vol. 56(2), pages 358-368, April.
    3. José Vicente & Aloísio Araújo, 2010. "Social Welfare Analysis in a Financial Economy with Risk Regulation," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 12(3), pages 561-586, June.
    4. Araújo, Aloísio Pessoa & Vicente, José Valentim M., 2006. "Risk Regulation in Brazil: A General Equilibrium Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(1), May.
    5. De Giorgi, Enrico, 2008. "Evolutionary portfolio selection with liquidity shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1088-1119, April.
    6. Xue Dong He & Hanqing Jin & Xun Yu Zhou, 2015. "Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 773-796, March.
    7. Cuoco, Domenico & Liu, Hong, 2006. "An analysis of VaR-based capital requirements," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 362-394, July.
    8. Pérignon, Christophe & Deng, Zi Yin & Wang, Zhi Jun, 2008. "Do banks overstate their Value-at-Risk?," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 783-794, May.
    9. James O'Brien & Jeremy Berkowitz, 2005. "Estimating Bank Trading Risk: A Factor Model Approach," NBER Working Papers 11608, National Bureau of Economic Research, Inc.
    10. Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
    11. Santiago Moreno-Bromberg & Traian Pirvu & Anthony R'eveillac, 2011. "CRRA Utility Maximization under Risk Constraints," Papers 1106.1702, arXiv.org, revised Mar 2012.
    12. Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014. "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 29-41.
    13. Cheridito, Patrick & Stadje, Mitja, 2009. "Time-inconsistency of VaR and time-consistent alternatives," Finance Research Letters, Elsevier, vol. 6(1), pages 40-46, March.
    14. Xianzhe Chen & Weidong Tian, 2014. "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 453-474, October.
    15. Carole Bernard & Weidong Tian, 2009. "Optimal Reinsurance Arrangements Under Tail Risk Measures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 709-725, September.
    16. Redeker Imke & Wunderlich Ralf, 2018. "Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 1-21, January.

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