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Jean-Pierre Zigrand

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010. "Risk Appetite and Endogenous Risk," FMG Discussion Papers dp647, Financial Markets Group.

    Cited by:

    1. Anginer, Deniz & Demirguc-Kunt, Asli & Zhu, Min, 2014. "How does competition affect bank systemic risk?," Journal of Financial Intermediation, Elsevier, vol. 23(1), pages 1-26.
    2. Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2012. "Self-Fulfilling Risk Panics," American Economic Review, American Economic Association, vol. 102(7), pages 3674-3700, December.
    3. Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2014. "Credit Risk in General Equilibrium," CESifo Working Paper Series 4602, CESifo.
    4. Aymanns, Christoph & Caccioli, Fabio & Farmer, J. Doyne & Tan, Vincent W.C., 2015. "Taming the Basel leverage cycle," LSE Research Online Documents on Economics 65089, London School of Economics and Political Science, LSE Library.
    5. Fischer, Thomas & Riedler, Jesper, 2012. "Prices, debt and market structure in an agent-based model of the financial market," ZEW Discussion Papers 12-045, ZEW - Leibniz Centre for European Economic Research.
    6. Christoph Aymanns & J. Doyne Farmer, 2014. "The dynamics of the leverage cycle," Papers 1407.5305, arXiv.org, revised Aug 2014.
    7. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
    8. Chollete, Loran & Ning, Cathy, 2009. "The Dependence Structure of Macroeconomic Variables in the US," UiS Working Papers in Economics and Finance 2009/31, University of Stavanger.
    9. Valentin Haddad, 2012. "Concentrated Ownership and Equilibrium Asset Prices," 2012 Meeting Papers 902, Society for Economic Dynamics.
    10. Anginer, Deniz & Demirguc-Kunt, Asli, 2011. "Has the global banking system become more fragile over time ?," Policy Research Working Paper Series 5849, The World Bank.
    11. Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger.
    12. Tobias Adrian & Erkko Etula, 2010. "Funding liquidity risk and the cross-section of stock returns," Staff Reports 464, Federal Reserve Bank of New York.
    13. Michael Woodford, 2010. "Financial Intermediation and Macroeconomic Analysis," Journal of Economic Perspectives, American Economic Association, vol. 24(4), pages 21-44, Fall.
    14. Gabriele Galati & Richhild Moessner, 2013. "Macroprudential Policy – A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 27(5), pages 846-878, December.
    15. Ekaterina Svetlova & Henk van Elst, 2012. "How is non-knowledge represented in economic theory?," Papers 1209.2204, arXiv.org.
    16. Nivorozhkin, Eugene & Chondrogiannis, Ilias, 2022. "Shifting balances of systemic risk in the Chinese banking sector: Determinants and trends," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    17. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
    18. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
    19. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2011. "International diversification: A copula approach," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 403-417, February.
    20. Ismaila Akanni Yusuf & Agatha Nkem Amadi & Mohammed Bashir Salaudeen, 2020. "Effects of Risk Culture and Appetite on Effective Risk Management in Nigerian Banks: Case Study of United Bank for Africa Plc," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 6(2), pages 81-87, June.
    21. Tyler Muir & Erkko Etula & Tobias Adrian, 2011. "Broker-Dealer Leverage and the Cross-Section of Stock Returns," 2011 Meeting Papers 1448, Society for Economic Dynamics.
    22. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
    23. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.

  2. Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson, 2006. "Consistent Measures of Risk," FMG Discussion Papers dp565, Financial Markets Group.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Thomas Spooner & Rahul Savani, 2020. "A Natural Actor-Critic Algorithm with Downside Risk Constraints," Papers 2007.04203, arXiv.org.
    3. Belhajjam, A. & Belbachir, M. & El Ouardirhi, S., 2017. "Robust multivairiate extreme value at risk allocation," Finance Research Letters, Elsevier, vol. 23(C), pages 1-11.

  3. Jean-Pierre Zigrand & Jon Danielsson, 2006. "Equilibrium Asset Pricing with Systemic Risk," FMG Discussion Papers dp561, Financial Markets Group.

    Cited by:

    1. Cathy Ning & Loran Chollete, 2012. "Asymmetric Dependence between Aggregate Consumption and Financial Risk," Working Papers 046, Toronto Metropolitan University, Department of Economics.
    2. Schaeck, K. & Silva Buston, C.F. & Wagner, W.B., 2013. "The Two Faces of Interbank Correlation," Discussion Paper 2013-077, Tilburg University, Center for Economic Research.
    3. Schaeck, K. & Silva Buston, C.F. & Wagner, W.B., 2013. "The Two Faces of Interbank Correlation," Other publications TiSEM 01f35859-2db3-4c16-8054-e, Tilburg University, School of Economics and Management.
    4. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
    5. Zigrand, Jean-Pierre, 2014. "Systems and systemic risk in finance and economics," LSE Research Online Documents on Economics 61220, London School of Economics and Political Science, LSE Library.
    6. Wen-Xi Ruan & Xin Yu & Sheng-Yuan Wang & Tian-Cheng Zhao & Ya-Zhen Liu, 2022. "Exploration of China–ASEAN Trade Relations in the Context of Sustainable Economic Development—Based on the Lotka–Volterra Model," Sustainability, MDPI, vol. 15(1), pages 1-22, December.
    7. Boyle, Glenn & Meade, Richard, 2005. "Intra-Country Regulation of Share Markets: Does One Size Fit All?," Working Paper Series 18951, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    8. Bernard, Carole & Cui, Xuecan, 2023. "Impact of systemic risk regulation on optimal policies and asset prices," Journal of Banking & Finance, Elsevier, vol. 154(C).
    9. Bakoush, Mohamed & Gerding, Enrico H. & Wolfe, Simon, 2019. "Margin requirements and systemic liquidity risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 78-95.
    10. Chollete, Lorán & de la Peña, Victor & Klass, Michael, 2023. "The price of independence in a model with unknown dependence," Mathematical Social Sciences, Elsevier, vol. 123(C), pages 51-58.
    11. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
    12. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2021. "Leverage and systemic risk pro-cyclicality in the Chinese financial system," International Review of Financial Analysis, Elsevier, vol. 78(C).
    13. Seungwoo Choi & Mun Yong Yi, 2021. "Computational Valuation Model of Housing Price Using Pseudo Self Comparison Method," Sustainability, MDPI, vol. 13(20), pages 1-22, October.
    14. Tasca, Paolo & Battiston, Stefano, 2014. "Diversification and financial stability," LSE Research Online Documents on Economics 59297, London School of Economics and Political Science, LSE Library.
    15. Schaeck, K. & Silva Buston, C.F. & Wagner, W.B., 2013. "The Two Faces of Interbank Correlation," Other publications TiSEM 20f96e3f-e3fb-428f-83de-2, Tilburg University, School of Economics and Management.
    16. Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance 2012/2, University of Stavanger.
    17. Silva-Buston, Consuelo, 2019. "Systemic risk and competition revisited," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 188-205.
    18. Tasca, Paolo & Battiston, Stefano & Deghi, Andrea, 2017. "Portfolio diversification and systemic risk in interbank networks," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 96-124.
    19. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
    20. Seo Joon Choi & Kanghyun Kim & Sunyoung Park, 2020. "Is systemic risk systematic? Evidence from the U.S. stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 642-663, October.
    21. Jose Fique & Frank Page, 2013. "Rollover risk and endogenous network dynamics," Computational Management Science, Springer, vol. 10(2), pages 213-230, June.
    22. Bruce Mizrach, 2012. "Comment on "Endogenous and Systemic Risk"," NBER Chapters, in: Quantifying Systemic Risk, pages 94-105, National Bureau of Economic Research, Inc.
    23. De Caux, Robert & McGroarty, Frank & Brede, Markus, 2017. "The evolution of risk and bailout strategy in banking systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 109-118.

  4. Rahi, Rohit & Zigrand, Jean-Pierre, 2004. "Strategic Financial Innovation in Segmented Markets," CEPR Discussion Papers 4176, C.E.P.R. Discussion Papers.

    Cited by:

    1. Aït-Youcef, Camille & Joëts, Marc, 2024. "The role of index traders in the financialization of commodity markets: A behavioral finance approach," Energy Economics, Elsevier, vol. 136(C).
    2. Michail Anthropelos & Constantinos Kardaras, 2014. "Equilibrium in risk-sharing games," Papers 1412.4208, arXiv.org, revised Jul 2016.
    3. Chiaki Hara, 2010. "Pareto Improvement and Agenda Control of Sequential Financial Innovations," KIER Working Papers 748, Kyoto University, Institute of Economic Research.
    4. 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.
    5. Thorsten Beck & Tao Chen & Chen Lin & Frank M. Song, 2012. "Financial Innovation: The Bright and the Dark Sides," Working Papers 052012, Hong Kong Institute for Monetary Research.
    6. Michail Anthropelos & Constantinos Kardaras, 2017. "Equilibrium in risk-sharing games," Finance and Stochastics, Springer, vol. 21(3), pages 815-865, July.
    7. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
    8. Zhang, Yue, 2015. "The securitization of gold and its potential impact on gold stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 309-326.
    9. Ordu, Beyza Mina & Oran, Adil & Soytas, Ugur, 2018. "Is food financialized? Yes, but only when liquidity is abundant," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 82-96.
    10. Rahi, Rohit & Zigrand, Jean-Pierre, 2008. "Arbitrage networks," LSE Research Online Documents on Economics 4787, London School of Economics and Political Science, LSE Library.
    11. Rahi, Rohit & Zigrand, Jean-Pierre, 2013. "Walrasian foundations for equilibria in segmented markets," LSE Research Online Documents on Economics 62008, London School of Economics and Political Science, LSE Library.
    12. Rahi, Rohit & Zigrand, Jean-Pierre, 2007. "A theory of strategic intermediation and endogenous liquidity," LSE Research Online Documents on Economics 4764, London School of Economics and Political Science, LSE Library.
    13. Hara, Chiaki, 2011. "Pareto improvement and agenda control of sequential financial innovations," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 336-345.
    14. Rahi, Rohit & Zigrand, Jean-Pierre, 2013. "Market quality and contagion in fragmented markets," LSE Research Online Documents on Economics 60971, London School of Economics and Political Science, LSE Library.
    15. Jean-Pierre Zigrand & Rohit Rahi, 2009. "Endogenous Liquidity and Contagion," FMG Discussion Papers dp637, Financial Markets Group.
    16. Michail Anthropelos & Constantinos Kardaras, 2018. "Price Impact Under Heterogeneous Beliefs and Restricted Participation," Papers 1802.09954, arXiv.org, revised Dec 2023.
    17. Yi-Min Chen & Feng-Jyh Lin, 2013. "Do financially innovative futures matter?," The Service Industries Journal, Taylor & Francis Journals, vol. 33(9-10), pages 941-957, July.
    18. M. Sigova V. & I. Klyuchnikov K. & М. Сигова В. & И. Ключников К., 2016. "Теория Финансовых Инноваций. Критический Обзор Основных Подходов // The Theory Of Financial Innovations. A Critical Review Of Principal Approaches," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 20(6), pages 85-95.
    19. Anthropelos, Michail & Kardaras, Constantinos, 2024. "Price impact under heterogeneous beliefs and restricted participation," Journal of Economic Theory, Elsevier, vol. 215(C).
    20. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2018. "Optimal Investment, Demand and Arbitrage under Price Impact," Papers 1804.09151, arXiv.org, revised Dec 2018.
    21. Alzahrani, Mohammed & Masih, Mansur & Al-Titi, Omar, 2014. "Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 175-201.
    22. Rahi, Rohit & Zigrand, Jean-Pierre, 2020. "Market fragmentation and contagion," LSE Research Online Documents on Economics 118876, London School of Economics and Political Science, LSE Library.

  5. Jean-Pierre Zigrand & Jon Danielsson, 2003. "On time-scaling of risk and the square–root–of–time rule," FMG Discussion Papers dp439, Financial Markets Group.

    Cited by:

    1. Christian Walter, 2020. "Sustainable Financial Risk Modelling Fitting the SDGs: Some Reflections," Sustainability, MDPI, vol. 12(18), pages 1-28, September.
    2. George Tzagkarakis & Frantz Maurer, 2020. "An energy-based measure for long-run horizon risk quantification," Annals of Operations Research, Springer, vol. 289(2), pages 363-390, June.
    3. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
    4. Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1928-1942.
    5. Boudewijn de Bruin & Christian Walter, 2017. "Research Habits in Financial Modelling: The Case of Non-normality of Market Returns in the 1970s and the 1980s," Post-Print hal-04561125, HAL.
    6. Adrián F. Rossignolo, 2021. "The New Standardised Approach as a Credible Fallback," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-27, Septiembr.
    7. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "VaR performance during the subprime and sovereign debt crises: An application to emerging markets," Emerging Markets Review, Elsevier, vol. 20(C), pages 23-41.
    8. Do, Truc & Zhang, Huai & Zuo, Luo, 2022. "Rocking the boat: How relative performance evaluation affects corporate risk taking," Journal of Accounting and Economics, Elsevier, vol. 73(1).
    9. Charilaos Mertzanis, 2013. "Risk Management Challenges after the Financial Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(3), pages 285-320, November.
    10. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 649-677.
    11. Saadi, Samir & Rahman, Abdul, 2008. "Evidence of non-stationary bias in scaling by square root of time: Implications for Value-at-Risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 272-289, July.
    12. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Arnold F. Shapiro & Michel Terraza, 2012. "Capital asset pricing model with fuzzy returns and hypothesis testing," Working Papers 12-33, LAMETA, Universtiy of Montpellier, revised Sep 2012.
    13. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
    14. Kaouther Toumi & Jean-Laurent Viviani & Zeinab Chayeh, 2019. "Measurement of the displaced commercial risk in Islamic Banks," Post-Print halshs-01806496, HAL.
    15. Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
    16. Toumi, Kaouther & Viviani, Jean-Laurent & Chayeh, Zeinab, 2019. "Measurement of the displaced commercial risk in Islamic Banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 18-31.
    17. Orla McCullagh & Mark Cummins & Sheila Killian, 2023. "Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation," Journal of Banking Regulation, Palgrave Macmillan, vol. 24(3), pages 321-336, September.
    18. Hamid, Alain & Heiden, Moritz, 2015. "Forecasting volatility with empirical similarity and Google Trends," Journal of Economic Behavior & Organization, Elsevier, vol. 117(C), pages 62-81.
    19. Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel R. Smith, 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 150-160, January.
    20. Rossignolo, Adrian F. & Fethi, Meryem Duygun & Shaban, Mohamed, 2012. "Value-at-Risk models and Basel capital charges," Journal of Financial Stability, Elsevier, vol. 8(4), pages 303-319.
    21. Wang, Jying-Nan & Du, Jiangze & Hsu, Yuan-Teng, 2018. "Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 120-138.
    22. Liu, Xiaochun, 2017. "An integrated macro-financial risk-based approach to the stressed capital requirement," Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.
    23. Luca Spadafora & Marco Dubrovich & Marcello Terraneo, 2014. "Value-at-Risk time scaling for long-term risk estimation," Papers 1408.2462, arXiv.org.
    24. Kavussanos, Manolis G. & Dimitrakopoulos, Dimitris N., 2011. "Market risk model selection and medium-term risk with limited data: Application to ocean tanker freight markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 258-268.
    25. Stavros Degiannakis & Apostolos Kiohos, 2014. "Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 41(2), pages 216-232, March.
    26. Adrián F. Rossignolo & Víctor A. Álvarez, 2015. "Has the Basel Committee Got it Right? Evidence from Commodity Positions in Turmoil," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 10(1), pages 1-38, Enero-Jun.
    27. Pérignon, Christophe & Smith, Daniel R., 2010. "Diversification and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 55-66, January.
    28. Rodrigue Oeuvray & Pascal Junod, 2013. "On time scaling of semivariance in a jump-diffusion process," Papers 1311.1122, arXiv.org.
    29. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
    30. Slim, Skander & Dahmene, Meriam & Boughrara, Adel, 2020. "How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 22-37.
    31. Jianping Li & Lu Wei & Cheng-Few Lee & Xiaoqian Zhu & Dengsheng Wu, 2018. "Financial statements based bank risk aggregation," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 673-694, April.
    32. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    33. Yinhong Yao & Jianping Li, 2022. "Operational risk assessment of third-party payment platforms: a case study of China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-20, December.
    34. Nikolaus Rab & Richard Warnung, 2010. "Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations," Papers 1009.3638, arXiv.org, revised Nov 2011.
    35. Cathy W.S. Chen & Toshiaki Watanabe, 2019. "Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(3), pages 747-765, May.
    36. Zhu, Xiaoqian & Wei, Lu & Li, Jianping, 2021. "A two-stage general approach to aggregate multiple bank risks," Finance Research Letters, Elsevier, vol. 40(C).
    37. Ardakani, Omid M., 2023. "Coherent measure of portfolio risk," Finance Research Letters, Elsevier, vol. 57(C).
    38. Dangxing Chen, 2019. "Does the leverage effect affect the return distribution?," Papers 1909.08662, arXiv.org, revised Sep 2019.
    39. Al Janabi Mazin A. M., 2010. "Incorporating Asset Liquidity Effects in Risk-Capital Modeling," Review of Middle East Economics and Finance, De Gruyter, vol. 6(1), pages 60-89, July.
    40. Fritzsch, Simon & Timphus, Maike & Weiß, Gregor, 2024. "Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?," Journal of Banking & Finance, Elsevier, vol. 158(C).
    41. Shan Lu, 2019. "Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 129-168, June.
    42. Amy S. K. Wong, 2006. "Basel II and the Risk Management of Basket Options with Time-Varying Correlations," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
    43. Giacomo Toscano & Maria Cristina Recchioni, 2022. "Bias-optimal vol-of-vol estimation: the role of window overlapping," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 137-185, June.
    44. Murphy, David, 2023. "What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models," LSE Research Online Documents on Economics 118281, London School of Economics and Political Science, LSE Library.
    45. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    46. Adrián F. Rossignolo, 2019. "Basel IV A gloomy future for Expected Shortfall risk models. Evidence from the Mexican Stock Market," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 559-582, Agosto 20.
    47. Wang, Jying-Nan & Yeh, Jin-Huei & Cheng, Nick Ying-Pin, 2011. "How accurate is the square-root-of-time rule in scaling tail risk: A global study," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1158-1169, May.
    48. Kiesel, Rüdiger & Rahe, Florentin, 2017. "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 120-138.
    49. Balaban, Ercan & Lu, Shan, 2016. "Forecasting the term structure of volatility of crude oil price changes," Economics Letters, Elsevier, vol. 141(C), pages 116-118.
    50. Ahmed BenSaïda & Sabri Boubaker & Duc Khuong Nguyen & Skander Slim, 2018. "Value‐at‐risk under market shifts through highly flexible models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(8), pages 790-804, December.
    51. Al Janabi, Mazin A. M., 2009. "Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios," MPRA Paper 19498, University Library of Munich, Germany.
    52. Simon Fritzsch & Maike Timphus & Gregor Weiss, 2021. "Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?," Papers 2109.10946, arXiv.org.

  6. Jean-Pierre Zigrand, 2002. "Rational Asset Pricing Implications from Realistic Trading Frictions," FMG Discussion Papers dp414, Financial Markets Group.

    Cited by:

    1. Milena Wittwer, 2021. "Connecting Disconnected Financial Markets?," American Economic Journal: Microeconomics, American Economic Association, vol. 13(1), pages 252-282, February.
    2. Zigrand, Jean-Pierre, 2001. "Rational limits to arbitrage," LSE Research Online Documents on Economics 25068, London School of Economics and Political Science, LSE Library.

  7. 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.

    Cited by:

    1. Segoviano, Miguel A., 2006. "Consistent information multivariate density optimizing methodology," LSE Research Online Documents on Economics 24511, London School of Economics and Political Science, LSE Library.
    2. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
    3. Segoviano, Miguel A., 2006. "Conditional probability of default methodology," LSE Research Online Documents on Economics 24512, London School of Economics and Political Science, LSE Library.
    4. Laurent Clerc & Françoise Drumetz & François Haas, 2002. "The influence of structural changes on market functioning and its implications for monetary policy: a focus on the euro area," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 43-64, Bank for International Settlements.
    5. Marvin Barth & Eli Remolona & Philip Wooldridge, 2002. "Changes in market functioning and central bank policy: an overview of the issues," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 1-24, Bank for International Settlements.
    6. 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.
    7. Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.

  8. Jean-Pierre Zigrand, 2001. "Rational Limits to Arbitrage," FMG Discussion Papers dp392, Financial Markets Group.

    Cited by:

    1. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
    2. Zigrand, Jean-Pierre, 2004. "A general equilibrium analysis of strategic arbitrage," Journal of Mathematical Economics, Elsevier, vol. 40(8), pages 923-952, December.

  9. Jean-Pierre Zigrand & Jon Danielsson, 2001. "What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model," FMG Discussion Papers dp393, Financial Markets Group.

    Cited by:

    1. Wagner, Wolf & Marsh, Ian W., 2006. "Credit risk transfer and financial sector stability," Journal of Financial Stability, Elsevier, vol. 2(2), pages 173-193, June.
    2. Bernd Hofmann, 2005. "Procyclicality: The Macroeconomic Impact of Risk-Based Capital Requirements," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(2), pages 179-200, August.
    3. Dimitri Vayanos, 2004. "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers 10327, National Bureau of Economic Research, Inc.
    4. Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004. "The impact of risk regulation on price dynamics," LSE Research Online Documents on Economics 16628, London School of Economics and Political Science, LSE Library.
    5. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
    6. Kero, Afroditi, 2013. "Banks’ risk taking, financial innovation and macroeconomic risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 112-124.
    7. Lakshithe Wagalath, 2016. "Feedback effects and endogenous risk in financial markets," Finance, Presses universitaires de Grenoble, vol. 37(2), pages 39-74.
    8. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
    9. Cornelis A. Los & Rossitsa M. Yalamova, 2004. "Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash," Finance 0409050, University Library of Munich, Germany.
    10. Edgardo Barandiarán, 2003. "El Prestamista de Última Instancia en la Nueva Industria Bancaria," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(120), pages 337-358.
    11. Danielsson, Jon, 2002. "The emperor has no clothes: Limits to risk modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1273-1296, July.
    12. Griffith-Jones, Stephany & Segoviano, Miguel Angel & Spratt, Stephen, 2004. "Basel II: developing countries and portfolio diversification," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
    13. Liu, Xiangbo & Qiu, Zhigang & Xiong, Yan, 2013. "VaR constrained asset pricing with relative performance," Economics Letters, Elsevier, vol. 121(2), pages 174-178.
    14. Griffith-Jones, Stephany & Segoviano, Miguel Angel & Spratt, Stephen, 2003. "Basel II and developing countries: diversification and portfolio effects," LSE Research Online Documents on Economics 24824, London School of Economics and Political Science, LSE Library.
    15. Bühler, Wolfgang & Koziol, Christian, 2004. "Banking Regulation and Financial Accelerators: A One-Period Model with Unlimited Liability," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 17, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.

  10. Jean-Pierre Zigrand, 1999. "Arbitrage and Endogenous Market Integration," FMG Discussion Papers dp319, Financial Markets Group.

    Cited by:

    1. Gromb, Denis & Vayanos, Dimitri, 2001. "Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs," CEPR Discussion Papers 3049, C.E.P.R. Discussion Papers.
    2. Jun Liu, 2004. "Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities," The Review of Financial Studies, Society for Financial Studies, vol. 17(3), pages 611-641.
    3. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
    4. Zigrand, Jean-Pierre, 2004. "A general equilibrium analysis of strategic arbitrage," Journal of Mathematical Economics, Elsevier, vol. 40(8), pages 923-952, December.
    5. Zigrand, Jean-Pierre, 2001. "Rational limits to arbitrage," LSE Research Online Documents on Economics 25068, London School of Economics and Political Science, LSE Library.

Articles

  1. Rohit Rahi & Jean-Pierre Zigrand, 2009. "Strategic Financial Innovation in Segmented Markets," The Review of Financial Studies, Society for Financial Studies, vol. 22(8), pages 2941-2971, August.
    See citations under working paper version above.
  2. Jón Daníelsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 35(2), pages 293-319, May.
    See citations under working paper version above.
  3. Zigrand, Jean-Pierre, 2006. "Endogenous market integration, manipulation and limits to arbitrage," Journal of Mathematical Economics, Elsevier, vol. 42(3), pages 301-314, June.

    Cited by:

    1. Carosi, Laura & Gori, Michele & Villanacci, Antonio, 2009. "Endogenous restricted participation in general financial equilibrium," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 787-806, December.
    2. Rohit Rahi & Jean-Pierre Zigrand, 2009. "Strategic Financial Innovation in Segmented Markets," The Review of Financial Studies, Society for Financial Studies, vol. 22(8), pages 2941-2971, August.
    3. Rahi, Rohit & Zigrand, Jean-Pierre, 2013. "Walrasian foundations for equilibria in segmented markets," LSE Research Online Documents on Economics 62008, London School of Economics and Political Science, LSE Library.
    4. Leung, Henry & Ton, Thai, 2015. "The impact of internet stock message boards on cross-sectional returns of small-capitalization stocks," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 37-55.
    5. Andrés Carvajal & Marek Weretka, 2012. "No-arbitrage, state prices and trade in thin financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 50(1), pages 223-268, May.
    6. Anthropelos, Michail & Kardaras, Constantinos, 2024. "Price impact under heterogeneous beliefs and restricted participation," Journal of Economic Theory, Elsevier, vol. 215(C).

  4. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
    See citations under working paper version above.
  5. Jean-Pierre Zigrand, 2005. "Rational Asset Pricing Implications from Realistic Trading Frictions," The Journal of Business, University of Chicago Press, vol. 78(3), pages 871-892, May.
    See citations under working paper version above.
  6. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.

    Cited by:

    1. Adams, Zeno & Füss, Roland & Gropp, Reint, 2014. "Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 575-598, June.
    2. Michel Aglietta & Sandra Rigot, 2008. "The regulation of hedge funds under the prism of the financial crisis," EconomiX Working Papers 2008-20, University of Paris Nanterre, EconomiX.
    3. Petr Musílek & Tomáš Jeřábek, 2015. "Hedgeové fondy a akciové trhy [Hedge Funds and Stock Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2015(1), pages 91-107.
    4. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
    5. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
    6. Douglas da Rosa München & Herbert Kimura, 2020. "Regulatory Banking Leverage: what do you know?," Working Papers Series 540, Central Bank of Brazil, Research Department.
    7. King, Michael R. & Maier, Philipp, 2009. "Hedge funds and financial stability: Regulating prime brokers will mitigate systemic risks," Journal of Financial Stability, Elsevier, vol. 5(3), pages 283-297, September.
    8. Massoud, Nadia & Ullah, Saif & Scholnick, Barry, 2016. "Does it help firms to secretly pay for stock promoters?," Journal of Financial Stability, Elsevier, vol. 26(C), pages 45-61.

  7. Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004. "The impact of risk regulation on price dynamics," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1069-1087, May.

    Cited by:

    1. Hakenes, Hendrik & Schnabel, Isabel, 2005. "Bank Size and Risk-Taking under Basel II," Sonderforschungsbereich 504 Publications 05-07, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    2. Altunbas, Yener & Binici, Mahir & Gambacorta, Leonardo, 2018. "Macroprudential policy and bank risk," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 203-220.
    3. Stephen Morris & Hyun Song Shin, 2003. "Liquidity Black Holes," Cowles Foundation Discussion Papers 1434, Cowles Foundation for Research in Economics, Yale University.
    4. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
    5. Rama Cont & Lakshithe Wagalath, 2012. "Fire Sales Forensics: Measuring Endogenous Risk," Working Papers hal-00697224, HAL.
    6. Claudio Borio & Harold James & Hyun Song Shin, 2014. "The international monetary and financial system: a capital account historical perspective," Globalization Institute Working Papers 204, Federal Reserve Bank of Dallas.
    7. Bijapur, Mohan & Croci, Manuela & Zaidi, Rida, 2012. "Do asset regulations impede portfolio diversification? evidence from European life insurance funds," LSE Research Online Documents on Economics 56618, London School of Economics and Political Science, LSE Library.
    8. Péter Kondor, 2006. "Risk in Dynamic Arbitrage: Price Effects of Convergence Trading," MNB Working Papers 2006/6, Magyar Nemzeti Bank (Central Bank of Hungary).
    9. 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.
    10. Constantinides, George M. & Lian, Lei, 2021. "The Supply and Demand of S&P 500 Put Options," Critical Finance Review, now publishers, vol. 10(1), pages 1-20, April.
    11. Carey, Mark & Stulz, Rene M., 2005. "The Risks of Financial Institutions," Working Paper Series 2005-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    12. 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.
    13. Jason Allen & Andrew Usher, 2020. "Investment dealer collateral and leverage procyclicality," Empirical Economics, Springer, vol. 58(2), pages 489-505, February.
    14. Aymanns, Christoph & Caccioli, Fabio & Farmer, J. Doyne & Tan, Vincent W.C., 2015. "Taming the Basel leverage cycle," LSE Research Online Documents on Economics 65089, London School of Economics and Political Science, LSE Library.
    15. Bjarni G. Einarsson & Kristófer Gunnlaugsson & Thorvardur Tjörvi Ólafsson & Thórarinn G. Pétursson, 2016. "Small open economies in the vast oceanof global high finance," Economics wp73, Department of Economics, Central bank of Iceland.
    16. Jukka Isohätälä & Alistair Milne & Donald Robertson, 2020. "The Net Worth Trap: Investment and Output Dynamics in the Presence of Financing Constraints," Mathematics, MDPI, vol. 8(8), pages 1-32, August.
    17. Charilaos Mertzanis, 2013. "Risk Management Challenges after the Financial Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(3), pages 285-320, November.
    18. Altunbas, Yener & Gambacorta, Leonardo & Marqués-Ibáñez, David, 2009. "Bank risk and monetary policy," Working Paper Series 1075, European Central Bank.
    19. Christoph Aymanns & J. Doyne Farmer, 2014. "The dynamics of the leverage cycle," Papers 1407.5305, arXiv.org, revised Aug 2014.
    20. Sushanta K Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2017. "Market volatility, monetary policy and the term premium," BIS Working Papers 606, Bank for International Settlements.
    21. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
    22. Tabak, Benjamin Miranda, 2013. "Financial Stability and Monetary Policy - The case of Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(4), November.
    23. Schuler, Tobias & Corrado, Luisa, 2019. "Financial cycles, credit bubbles and stabilization policies," Working Paper Series 2336, European Central Bank.
    24. Jón Daníelsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 35(2), pages 293-319, May.
    25. Llacay, Bàrbara & Peffer, Gilbert, 2017. "Impact of value-at-risk models on market stability," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 223-256.
    26. Veronica Guerrieri & Péter Kondor, 2009. "Fund Managers, Career Concerns, and Asset Price Volatility," NBER Working Papers 14898, National Bureau of Economic Research, Inc.
    27. Tobias Adrian & Hyun Song Shin, 2008. "Liquidity and leverage," Staff Reports 328, Federal Reserve Bank of New York.
    28. Asghar Ali & Kevin Daly, 2010. "What Explain Credit Defaults? A Comparative Study," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 6, pages 51-65.
    29. 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.
    30. Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2010. "Does monetary policy affect bank risk-taking?," BIS Working Papers 298, Bank for International Settlements.
    31. 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).
    32. Mazzarisi, Piero & Lillo, Fabrizio & Marmi, Stefano, 2019. "When panic makes you blind: A chaotic route to systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 176-199.
    33. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 169-196, September.
    34. Lakshithe Wagalath, 2017. "Lost In Contagion? Building A Liquidation Index From Covariance Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-26, February.
    35. Peiris, M.U. & Shirobokov, A. & Tsomocos, D.P., 2024. "Does “Lean Against the Wind” monetary policy improve welfare in a commodity exporter?," Journal of International Money and Finance, Elsevier, vol. 141(C).
    36. Borio, Claudio, 2014. "The financial cycle and macroeconomics: What have we learnt?," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 182-198.
    37. 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.
    38. Noor-e-Saher & Mehran Herbert, 2010. "Response of Long-term Interest Rate to Fiscal Imbalance: Evidence from Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 6, pages 43-49.
    39. Leonardo Gambacorta & Sudipto Karmakar, 2018. "Leverage and Risk-Weighted Capital Requirements," International Journal of Central Banking, International Journal of Central Banking, vol. 14(5), pages 153-191, December.
    40. Tommaso Trani, 2012. "Countercyclical Capital Regulation and Bank Ownership Structure," IHEID Working Papers 14-2012, Economics Section, The Graduate Institute of International Studies.
    41. 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.
    42. Claudio E. V. Borio & Kostas Tsatsaronis, 2006. "Risk in financial reporting: status, challenges and suggested directions," BIS Working Papers 213, Bank for International Settlements.
    43. 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.
    44. Luisa Corrado & Tobias Schuler, 2018. "Financial Bubbles in Interbank Lending," CEIS Research Paper 427, Tor Vergata University, CEIS, revised 06 Apr 2018.
    45. Sirio Aramonte & Andreas Schrimpf & Hyun Song Shin, 2023. "Non-bank financial intermediaries and financial stability," Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 7, pages 147-170, Edward Elgar Publishing.
    46. Claudio E. V. Borio, 2004. "Market distress and vanishing liquidity: anatomy and policy options," BIS Working Papers 158, Bank for International Settlements.
    47. Robert N. Collender & Forrest W. Pafenberg & Robert S. Seiler, Jr., 2010. "Automatic Recapitalization Alternatives," FHFA Staff Working Papers 10-02, Federal Housing Finance Agency.
    48. Borio, Claudio & Tsatsaronis, Kostas, 2004. "Accounting and prudential regulation: from uncomfortable bedfellows to perfect partners?," Journal of Financial Stability, Elsevier, vol. 1(1), pages 111-135, September.
    49. Kang, Namho & Kondor, Péter & Sadka, Ronnie, 2014. "Do Hedge Funds Reduce Idiosyncratic Risk?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(4), pages 843-877, August.
    50. Piersanti, Giovanni, 2012. "The Macroeconomic Theory of Exchange Rate Crises," OUP Catalogue, Oxford University Press, number 9780199653126.
    51. Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Aymanns, Christopher, 2018. "Models of Financial Stability and Their Application in Stress Tests," INET Oxford Working Papers 2018-06, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
    52. Lakshithe Wagalath, 2016. "Feedback effects and endogenous risk in financial markets," Finance, Presses universitaires de Grenoble, vol. 37(2), pages 39-74.
    53. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
    54. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
    55. Piero Mazzarisi & Fabrizio Lillo & Stefano Marmi, 2018. "When panic makes you blind: a chaotic route to systemic risk," Papers 1805.00785, arXiv.org.
    56. Bjarni G. Einarsson & Kristófer Gunnlaugsson & Thorvardur Tjörvi Ólafsson & Thórarinn G. Pétursson, 2016. "The long history of financial boom-bust cycles in Iceland - Part II: Financial cycles," Economics wp72, Department of Economics, Central bank of Iceland.
    57. Guo, Rui & Jiang, Ying & Li, Ao & Qiu, Zhigang & Wang, Hefei, 2021. "A model of delegation with a VaR constraint," Finance Research Letters, Elsevier, vol. 42(C).
    58. Huang, Shiyang & Jiang, Ying & Qiu, Zhigang & Ye, Zhiqiang, 2019. "An equilibrium model of risk management spillover," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    59. James M. O'Brien & Pawel J. Szerszen, 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
    60. Yuan Chang, 2016. "Financial Soundness Indicator, Financial Cycle, Credit Cycle and Business Cycle£­Evidence from Taiwan," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 166-182, April.
    61. Berg, Tobias & Koziol, Philipp, 2017. "An analysis of the consistency of banks’ internal ratings," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 27-41.
    62. Łukasz Lenart & Mateusz Pipień, 2015. "Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(3), pages 169-186, September.
    63. Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2016. "When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification," Operations Research, INFORMS, vol. 64(5), pages 1073-1088, October.
    64. Liu, Xiangbo & Qiu, Zhigang & Xiong, Yan, 2013. "VaR constrained asset pricing with relative performance," Economics Letters, Elsevier, vol. 121(2), pages 174-178.
    65. Kondor, Péter & Sadka, Ronnie & Kang, Namho, 2011. "Idiosyncratic Return Volatility in the Cross-Section of Stocks," CEPR Discussion Papers 8307, C.E.P.R. Discussion Papers.
    66. Bruce Mizrach, 2012. "Comment on "Endogenous and Systemic Risk"," NBER Chapters, in: Quantifying Systemic Risk, pages 94-105, National Bureau of Economic Research, Inc.
    67. Moisă ALTĂR & Matei KUBINSCHI & Dinu BARNEA, 2017. "Measuring Financial Cycle Length and Assessing Synchronization using Wavelets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 18-36, September.
    68. Leonardo Gambacorta, 2009. "Monetary policy and the risk-taking channel," BIS Quarterly Review, Bank for International Settlements, December.
    69. Alessandro Leardi, 2022. "Fuelling fire sales? Prudential regulation and crises: evidence from the Italian market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 121-144, January.
    70. Rytchkov, Oleg, 2016. "Time-Varying Margin Requirements and Optimal Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(2), pages 655-683, April.
    71. Khosravi, Taha, 2015. "The Impact of a Low Interest Rate Environment: Empirical Evidence from the Euro Area Bank Lending Survey," MPRA Paper 67363, University Library of Munich, Germany.
    72. Domenico Cuoco & Hua He & Sergei Isaenko, 2008. "Optimal Dynamic Trading Strategies with Risk Limits," Operations Research, INFORMS, vol. 56(2), pages 358-368, April.
    73. René Garcia & Éric Renault & Georges Tsafack, 2007. "Proper Conditioning for Coherent VaR in Portfolio Management," Management Science, INFORMS, vol. 53(3), pages 483-494, March.

  8. Zigrand, Jean-Pierre, 2004. "A general equilibrium analysis of strategic arbitrage," Journal of Mathematical Economics, Elsevier, vol. 40(8), pages 923-952, December.

    Cited by:

    1. Péter Kondor, 2006. "Risk in Dynamic Arbitrage: Price Effects of Convergence Trading," MNB Working Papers 2006/6, Magyar Nemzeti Bank (Central Bank of Hungary).
    2. Andrés Carvajal, 2018. "Arbitrage pricing in non-Walrasian financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(4), pages 951-978, December.
    3. Rohit Rahi & Jean-Pierre Zigrand, 2009. "Strategic Financial Innovation in Segmented Markets," The Review of Financial Studies, Society for Financial Studies, vol. 22(8), pages 2941-2971, August.
    4. Rahi, Rohit & Zigrand, Jean-Pierre, 2013. "Walrasian foundations for equilibria in segmented markets," LSE Research Online Documents on Economics 62008, London School of Economics and Political Science, LSE Library.
    5. Michail Anthropelos & Constantinos Kardaras, 2018. "Price Impact Under Heterogeneous Beliefs and Restricted Participation," Papers 1802.09954, arXiv.org, revised Dec 2023.
    6. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
    7. Andrés Carvajal & Marek Weretka, 2012. "No-arbitrage, state prices and trade in thin financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 50(1), pages 223-268, May.
    8. Anthropelos, Michail & Kardaras, Constantinos, 2024. "Price impact under heterogeneous beliefs and restricted participation," Journal of Economic Theory, Elsevier, vol. 215(C).
    9. Zigrand, Jean-Pierre, 2006. "Endogenous market integration, manipulation and limits to arbitrage," Journal of Mathematical Economics, Elsevier, vol. 42(3), pages 301-314, June.

Chapters

  1. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2012. "Endogenous and Systemic Risk," NBER Chapters, in: Quantifying Systemic Risk, pages 73-94, National Bureau of Economic Research, Inc.

    Cited by:

    1. Kuzubaş, Tolga Umut & Saltoğlu, Burak & Sever, Can, 2016. "Systemic risk and heterogeneous leverage in banking networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 358-375.
    2. Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019. "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers 13435, C.E.P.R. Discussion Papers.
    3. Louis Raffestin, 2016. "Foreign exchange investment rules and endogenous currency crashes," Working Papers hal-01277113, HAL.
    4. Mazzarisi, Piero & Lillo, Fabrizio & Marmi, Stefano, 2019. "When panic makes you blind: A chaotic route to systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 176-199.
    5. Choi, So Eun & Jang, Hyun Jin & Lee, Kyungsub & Zheng, Harry, 2021. "Optimal market-Making strategies under synchronised order arrivals with deep neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    6. Rick Bookstaber & Mark Paddrik & Brian Tivnan, 2014. "An Agent-based Model for Financial Vulnerability," Working Papers 14-05, Office of Financial Research, US Department of the Treasury, revised Sep 2014.
    7. Mazzarisi, Piero & Zaoli, Silvia & Campajola, Carlo & Lillo, Fabrizio, 2020. "Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
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