Detecting "Bad" Leverage
Chapter in NBER book Risk Topography: Systemic Risk and Macro Modeling (2014), Markus K. Brunnermeier and Arvind Krishnamurthy, editors (p. 205 - 212)
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I thank Atif Mian, Robert Vishny, and participants in the NBER Systemic Risk Initiative in April 2011 in Chicago. This note was prepared for the NBER Systemic Risk Initiative.