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The Dynamics of the Leverage Cycle
Aymanns, Christoph - 2014
We present a simple agent-based model of a financial system composed of leveraged investors such as banks that invest in stocks and manage their risk using a Value-at-Risk constraint, based on historical observations of asset prices. The Value-at-Risk constraint implies that when perceived risk...
Persistent link: https://www.econbiz.de/10013050585
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The leverage cycle
Geanakoplos, John - In: NBER macroeconomics annual 24 (2009), pp. 1-87
Persistent link: https://www.econbiz.de/10003988576
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The leverage cycle
Geanakoplos, John - 2009
Persistent link: https://www.econbiz.de/10003864760
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Lecture notes in incomplete markets
Geanakoplos, John; Magill, Michael; Shafer, Wayne J.
Persistent link: https://www.econbiz.de/10000774565
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Correlated equilibrium with generalized information structures
Brandenburger, Adam - In: Games and economic behavior 4 (1992) 2, pp. 182-201
Persistent link: https://www.econbiz.de/10001124192
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Real indeterminacy with financial assets
Geanakoplos, John - In: Journal of economic theory 47 (1989) 1, pp. 22-38
Persistent link: https://www.econbiz.de/10001062496
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Special issue on equilibrium with incomplete markets
Geanakoplos, John (contributor) - In: Journal of mathematical economics 19 (1990) 1, pp. 1-232
Persistent link: https://www.econbiz.de/10001095482
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Celebrating Irving Fisher : the legacy of a great economist
Dimand, Robert W. (ed.); Geanakoplos, John (contributor);  … - 2005 - 1. publ.
Persistent link: https://www.econbiz.de/10002485529
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Celebrating Irving Fisher : the legacy of a great economist
Dimand, Robert W.; Geanakoplos, John - In: The American journal of economics and sociology 64 (2005) 1, pp. 3-18
Persistent link: https://www.econbiz.de/10002918459
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The Leverage Cycle
Geanakoplos, John - 2010
Persistent link: https://www.econbiz.de/10014198835