NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Jon Danielsson

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Working Papers and Chapters

April 2012Endogenous and Systemic Risk
with Hyun Song Shin, Jean-Pierre Zigrand
in Quantifying Systemic Risk, Joseph G. Haubrich and Andrew W. Lo, editors
This chapter, which examines the feedback between market volatility and traders' perception of risk, spells out the precise mechanism through which endogenous risk manifests itself, and discusses ways of mitigating it. It considers a variety of markets, explaining the implied volatility skew for options, the procyclical impact of Basel II bank capital requirements, and the optimal design for derivatives clearing and lenders of last resort.

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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