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Procyclical Leverage and Endogenous Risk

Market volatility reflects traders' actions, while their actions depend on perceptions of risk. Equilibrium volatility is the fixed point of the mapping that takes perceived risk to actual risk. We solve for equilibrium stochastic volatility in a dynamic setting where risk-neutral traders opera...

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Bibliographic Details
Authors and Corporations: Danielsson, Jon (Author), Shin, Hyun Song (Other), Zigrand, Jean-Pierre (Other)
Other Authors: Shin, Hyun Song , Zigrand, Jean-Pierre
Type of Resource: E-Book
Language: Undetermined
[S.l.] SSRN [2012]
Source: Verbunddaten SWB
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