Asset Price Dynamics with Value-at-Risk Constrained Traders

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Danielsson, J., H. Shin, and J.-P. Zigrand (2002). Asset price dynamics with value-at-risk constrained traders.

@article{DanielssonShinZigrand2002ww,
	title={ Asset Price Dynamics with Value-at-Risk Constrained Traders},
	    author={J{\'o}n Dan{\'i}elsson  and Hyun Shin and Jean--Pierre Zigrand},
	year=2002,
	url={https://ssrn.com/abstract=302307},
	abstract={}
}


An academic response to {Basel} {II}
Endogenous risk

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