Journal article
Taming the Basel Leverage Cycle
- Abstract:
-
We investigate a simple dynamical model for the systemic risk caused by the use of Value-at-Risk, as mandated by Basel II. The model consists of a bank with a leverage target and an unleveraged fundamentalist investor subject to exogenous noise with clustered volatility. The parameter space has three regions: (i) a stable region, where the system has a fixed point equilibrium; (ii) a locally unstable region, characterized by cycles with chaotic behavior; and (iii) a globally unstable region. ...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Bibliographic Details
- Publisher:
- Elsevier Publisher's website
- Journal:
- Journal of Financial Stability Journal website
- Volume:
- 27
- Pages:
- 263-277
- Publication date:
- 2016-03-03
- Acceptance date:
- 2016-02-18
- DOI:
- ISSN:
-
1572-3089
Item Description
- Keywords:
- Pubs id:
-
pubs:619295
- UUID:
-
uuid:cdbfda3e-6c92-4355-96d3-1f6e15907f03
- Local pid:
- pubs:619295
- Source identifiers:
-
619295
- Deposit date:
- 2016-05-05
Terms of use
- Copyright holder:
- Christoph Aymanns et al
- Copyright date:
- 2016
- Notes:
-
Published by Elsevier B.V. This is an open access article under the CC BY license
(http://creativecommons.org/licenses/by/4.0/).
- Licence:
- CC Attribution (CC BY)
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