Risk appetite and endogenous risk

Download paper

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

Market volatility reflects traders' actions, while their actions depend 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

@ARTICLE{DanielssonShinZigrand2009b,
  author =  {J{\'o}n Dan{\'i}elsson and Hyun Song Shin and Jean-Pierre
                  Zigrand},
  title =   {Risk appetite and endogenous risk},
  year =    2009,
 }

Collapse of a country
On the efficacy of financial regulations
Risk research
Jon Danielson's research papers on systemic risk, artificial intelligence, risk forecasting, financial regulations and crypto currencies.
© All rights reserved, Jon Danielsson,