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Procyclical Leverage and Endogenous Risk · Study

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PreprintProcyclical Leverage and Endogenous Risk

Jón Danı́elsson2009

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Preprintgreen2009

Procyclical Leverage and Endogenous Risk

Jón Danı́elsson · Hyun Song Shin · Jean‐Pierre Zigrand

105 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1995The Limits of Arbitrage 2008Market Liquidity and Funding Liquidity 1989Why Does Stock Market Volatility Change Over Time?2008Liquidity and leverage

Cited by

2018Banking and shadow banking 2010International diversification: A copula approach 2018Cyclical investment behavior across financial institutions 2010Financial Connections and Systemic Risk 2010Limits of Arbitrage: The State of the Theory 2012How Does Bank Competition Affect Systemic Stability?2011Black's Leverage Effect is not Due to Leverage

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2010Risk Appetite and Endogenous Riskarticle · 21 shared references 2011Balance sheet capacity and endogenous riskpreprint · 20 shared references 2012Endogenous Extreme Events and the Dual Role of Pricesreview · 14 shared references 2010Leverage Causes Fat Tails and Clustered Volatilitypreprint · 11 shared references 2013Bubbles, Financial Crises, and Systemic Riskchapter · 10 shared references 2013Bubbles, Crises, and Heterogeneous Beliefschapter · 10 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations105

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1360866

openalex_workW1859818679

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2017Cyclical behavior of the financial stability of eurozone commercial banks