Portfolio choices and VaR constraint with a defaultable asset
Author
Abstract
Suggested Citation
DOI: 10.1080/14697688.2013.871643
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2011.
"Balance Sheet Capacity and Endogenous Risk,"
FMG Discussion Papers
dp665, Financial Markets Group.
- Danielsson, Jon & Song Shin, Hyun & Zigrand, Jean-Pierre, 2011. "Balance sheet capacity and endogenous risk," LSE Research Online Documents on Economics 43141, London School of Economics and Political Science, LSE Library.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Wang, Ning & Zhang, Nan & Jin, Zhuo & Qian, Linyi, 2019. "Robust non-zero-sum investment and reinsurance game with default risk," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 115-132.
- Li, Danping & Rong, Ximin & Zhao, Hui & Yi, Bo, 2017. "Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 6-20.
- Naqvi, Syed Muhammad Waqar Azeem & Rizvi, Syed Kumail Abbas & Orangzab & Ali, Muhammad, 2016. "Value at Risk at Asian Emerging Stock Markets," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 28(3), pages 311-319.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tobias Adrian & Nina Boyarchenko, 2013.
"Intermediary balance sheets,"
Staff Reports
651, Federal Reserve Bank of New York.
- Nina Boyarchenko & Tobias Adrian, 2015. "Intermediary Balance Sheets," 2015 Meeting Papers 239, Society for Economic Dynamics.
- Raffestin, Louis, 2014. "Diversification and systemic risk," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 85-106.
- Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
- James D. Hamilton & Jing Cynthia Wu, 2015.
"Effects Of Index‐Fund Investing On Commodity Futures Prices,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(1), pages 187-205, February.
- James D. Hamilton & Jing Cynthia Wu, 2014. "Effects of Index-Fund Investing on Commodity Futures Prices," NBER Working Papers 19892, National Bureau of Economic Research, Inc.
- Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012.
"Econometric measures of connectedness and systemic risk in the finance and insurance sectors,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
- Péter Kondor & Dimitri Vayanos, 2019.
"Liquidity Risk and the Dynamics of Arbitrage Capital,"
Journal of Finance, American Finance Association, vol. 74(3), pages 1139-1173, June.
- Péter Kondor & Dimitri Vayanos, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," NBER Working Papers 19931, National Bureau of Economic Research, Inc.
- Kondor, Peter & Vayanos, Dimitri, 2019. "Liquidity risk and the dynamics of arbitrage capital," LSE Research Online Documents on Economics 87520, London School of Economics and Political Science, LSE Library.
- Dimitri Vayanos & Peter Kondor, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," 2014 Meeting Papers 912, Society for Economic Dynamics.
- Péter Kondor & Dimitri Vayanos, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," FMG Discussion Papers dp730, Financial Markets Group.
- Vayanos, Dimitri & Kondor, Péter, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," CEPR Discussion Papers 9885, C.E.P.R. Discussion Papers.
- Kondor, Peter & Vayanos, Dimitri, 2014. "Liquidity risk and the dynamics of arbitrage capital," LSE Research Online Documents on Economics 55910, London School of Economics and Political Science, LSE Library.
- Boyd, Naomi E. & Harris, Jeffrey H. & Li, Bingxin, 2018. "An update on speculation and financialization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 91-104.
- Dimitri Vayanos & Jiang Wang, 2012.
"Market Liquidity -- Theory and Empirical Evidence,"
NBER Working Papers
18251, National Bureau of Economic Research, Inc.
- Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
- Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
- Abhishek Kumar & Sushanta Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2023.
"Market Volatility, Monetary Policy and the Term Premium,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 208-237, February.
- Sushanta K Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2017. "Market volatility, monetary policy and the term premium," BIS Working Papers 606, Bank for International Settlements.
- Huang, Wei-Qiang & Wang, Dan, 2018. "A return spillover network perspective analysis of Chinese financial institutions’ systemic importance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 405-421.
- Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2015.
"Convective Risk Flows in Commodity Futures Markets,"
Review of Finance, European Finance Association, vol. 19(5), pages 1733-1781.
- Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2012. "Convective Risk Flows in Commodity Futures Markets," NBER Working Papers 17921, National Bureau of Economic Research, Inc.
- Awan, Obaid A., 2019. "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, vol. 16(C).
- Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
- Dewachter, Hans & Wouters, Raf, 2014.
"Endogenous risk in a DSGE model with capital-constrained financial intermediaries,"
Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 241-268.
- Hans Dewachter & Raf Wouters, 2012. "Endogenous risk in a DSGE model with capital-constrained financial intermediaries," Working Paper Research 235, National Bank of Belgium.
- Tyler Muir, 2017. "Financial Crises and Risk Premia," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 765-809.
- David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2017.
"Credit-Market Sentiment and the Business Cycle,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(3), pages 1373-1426.
- J. David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2015. "Credit-Market Sentiment and the Business Cycle," Finance and Economics Discussion Series 2015-28, Board of Governors of the Federal Reserve System (U.S.).
- David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2016. "Credit-Market Sentiment and the Business Cycle," NBER Working Papers 21879, National Bureau of Economic Research, Inc.
- Cova, Pietro & Natoli, Filippo, 2020.
"The risk-taking channel of international financial flows,"
Journal of International Money and Finance, Elsevier, vol. 102(C).
- Pietro Cova & Filippo Natoli, 2019. "The risk-taking channel of international financial flows," GRU Working Paper Series GRU_2019_015, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Charles D Brummitt & Rajiv Sethi & Duncan J Watts, 2014.
"Inside Money, Procyclical Leverage, and Banking Catastrophes,"
PLOS ONE, Public Library of Science, vol. 9(8), pages 1-12, August.
- Charles D. Brummitt & Rajiv Sethi & Duncan J. Watts, 2014. "Inside Money, Procyclical Leverage, and Banking Catastrophes," Papers 1403.1637, arXiv.org.
- Thomas Lejeune & Raf Wouters, 2019. "A macroeconomic model with heterogeneous and financially-constrained intermediaries," Working Paper Research 367, National Bank of Belgium.
- Gilchrist, Simon & Wei, Bin & Yue, Vivian Z. & Zakrajšek, Egon, 2022.
"Sovereign risk and financial risk,"
Journal of International Economics, Elsevier, vol. 136(C).
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," NBER Chapters, in: NBER International Seminar on Macroeconomics 2021, National Bureau of Economic Research, Inc.
- Vivian Yue & Egon Zakrajsek & Simon Gilchrist, 2013. "Sovereign Risk and Financial Risk," 2013 Meeting Papers 289, Society for Economic Dynamics.
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," FRB Atlanta Working Paper 2021-27, Federal Reserve Bank of Atlanta.
- Zakrajsek, Egon & Gilchrist, Simon & Wei, Bin & Yue, Vivian, 2021. "Sovereign Risk and Financial Risk," CEPR Discussion Papers 16750, C.E.P.R. Discussion Papers.
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," NBER Working Papers 29501, National Bureau of Economic Research, Inc.
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," FRB Atlanta Working Paper 27, Federal Reserve Bank of Atlanta.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:15:y:2015:i:5:p:853-864. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.