The impact of risk regulation on price dynamics

By Jón Dańıelsson, Hyun Song Shin, Jean-Pierre Zigrand. 2004

197 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8b49160e427a941a8f1b3541d127f577de105948

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

The Bank Lending Channel: Lessons from the Crisis (2011, unknown): “This example can be applied to the widespread use of value-at-risk methodologies for economic and regulatory capital purposes (Danielsson et al., 2004).”
Bank Risk and Monetary Policy (2010, unknown): “…in managerial remuneration schemes (Rajan, 2005), widespread use of Value-at-Risk methodologies for economic and regulatory capital purposes (Danielsson et al., 2001, 2004), pro-cyclicality of bank leverage (Adrian and Shin, 2008).15 In order to check if the different effects of monetary…”
Towards a Macroprudential Framework for Financial Supervision and Regulation? (2003, unknown): “What might be called the emerging “LSE school” stresses the endogeneity of risk (eg Danielsson et al (2001), Danielsson et al (2002)) and the time dimension of risk (Goodhart and Danielsson (2001)).”
Fire sales, indirect contagion and systemic stress testing (2017, unknown): “Theoretical studies [Danielsson et al., 2004, Shin, 2010, Pedersen, 2009, Cont and Wagalath, 2013] have repeatedly pointed out the importance of endogenous risk for financial stability.”
Does monetary policy affect bank risk (2014, methodology): “This example can be applied to the widespread use of value-at-risk (VaR) methodologies regularly used by financial institutions for economic and regulatory capital purposes (Danielsson, Shin, and Zigrand 2004).”
The Financial Cycle and Macroeconomics: What Have We Learnt? (2014, unknown): “This analytical definition is closely tied to the increasingly popular concept of the “procyclicality” of the financial system (eg, Borio et al (2001), Danielsson et al (2004), Kashyap and Stein (2004), Brunnermeier et al (2009), Adrian and Shin (2010)).”
Liquidity Black Holes (2004, unknown): “Danielsson et al. (2002) and Danielsson and Shin (2003) explore these issues further.”
Macroprudential policy and bank risk (2018, background): “…equity relative to corporate debt, a sharp increase in stock prices reduces corporate leverage and could thus decrease the risk of holding stocks.3 This example can be applied to the widespread use of Value-at-Risk methodologies for economic and regulatory capital purposes (Danielsson et al, 2004).”