Taming the Basel Leverage Cycle
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 thre...
| Main Authors: | , , , |
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| Format: | Journal article |
| Published: |
Elsevier
2016
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