The impact of asset price bubbles on liquidity risk measures from a financial institutions perspective
Michael Jacobs Jr.
| Year of publication: |
2016
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|---|---|
| Authors: | Jacobs, Michael <Jr.> |
| Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 2.2016, 2, p. 152-182
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| Subject: | financial crisis | liquidity risk | model risk | asset price bubbles | value-at-risk | stochastic differential equation | SDE | constant elasticity of variance | CEV | Spekulationsblase | Bubbles | Risikomaß | Risk measure | Finanzkrise | Financial crisis | Theorie | Theory | Risiko | Risk | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Bankenliquidität | Bank liquidity | CAPM | Risikomanagement | Risk management | Börsenkurs | Share price |