NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Procyclical Leverage and Value-at-Risk

Tobias Adrian, Hyun Song Shin

NBER Working Paper No. 18943
Issued in April 2013

---- Acknowledgments ----

We are grateful to Viral Acharya, Mark Carey, Helmut Elsinger, Daniel Green, Nobuhiro Kiyotaki, John Moore, Thomas Philippon, Matthew Pritsker, Rafael Repullo, Jean-Charles Rochet, Philipp Schnabl, Martin Summer, Suresh Sundaresan and Pierre-Olivier Weill for comments on earlier drafts. We thank the editor, Andrew Karolyi, and two referees for guidance. An earlier version of this paper was entitled "Financial Intermediary Leverage and Value-at-Risk". The views expressed in this paper are those of the authors and do not necessarily represent those of the Federal Reserve Bank of New York, the Federal Reserve System, or the National Bureau of Economic Research.

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