@article{DanielssonZigrand2008,
    title={Equilibrium asset pricing with systemic risk},
    author={J{\'o}n Dan{\'i}elsson and Jean-Pierre Zigrand},
    year=2008,
    journal={Economic Theory},
    volume=35,
	issue=2,
	pages={293--319},
	url={http://www.RiskResearch.org},
	abstract={We provide an equilibrium multi-asset pricing model with micro-founded systemic risk and heterogeneous investors. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk-sensitive financial regulations are introduced with a view of tackling systemic risk, with Value-at-Risk a key component. The model suggests that risk-sensitive regulation can lower systemic risk in equilibrium, at the expense of poor risk-sharing, an increase in risk premia, higher and asymmetric asset volatility, lower liquidity, more comovement in prices, and the chance that markets may not clear.},
}