Risk appetite and endogenous risk

   Daníelsson, J., H. S. Shin, and J.-P. Zigrand (2009). Risk appetite and endogenous risk.

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Market volatility reflects traders' actions, while their actions de- pend on perceptions of risk. Equilibrium volatility is the fixed point of the mapping that takes perceived risk to actual risk. We solve for equilibrium stochastic volatility in a dynamic setting where risk- neutral traders operate

 author =  {J{\'o}n Dan{\'\i}elsson and Hyun Song Shin and Jean-
                 Pierre Zigrand},
 title =   {Risk appetite and endogenous risk},
 year =    2009,
 url =     {RiskResearch.org},