haku: @indexterm Equilibrium analysis / yhteensä: 508
viite: 92 / 508
| Tekijä: | Berkelaar, A. Cumperayot, P. Kouwenberg, R. |
| Otsikko: | The Effect of Var Based Risk Management on Asset Prices and the Volatility Smile |
| Lehti: | European Financial Management
2002 : JUN, VOL. 8:2, p. 139-164 |
| Asiasana: | PRICES PRICING EQUILIBRIUM ANALYSIS RISK MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | Many financial institutions and non-financial firms nowadays publicly report value-at-risk (VaR), a risk measure for potential losses. Internal use of VaR and other sophisticated risk measures are on the rise in many financial institutions, where e.g. a bank's risk committee may set VaR limits, both amounts and probabilities, for trading operations and fund management. The paper proposes equilibrium model with heterogeneous investors who maximize expected utility from intermediate consumption and terminal wealth at the planning horizon. Some of the investors are subject to a VaR risk management constraint. The horizon of the VaR constraint coincides with the investment horizon and can be interpreted as a sub period of the investor's lifetime: e.g. an official reporting period of 10 days or 1 year. |
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