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- W4286512548 abstract "• Compare the CoVaR, systemic expected shortfall under physical and risk-neutral probability measures. • Obtain the optimal wealth under several systemic risk measures. • Investigate risk-taking behavior under each systemic risk regulation. • Obtain the equilibrium market price and volatility with systemic risk agents. Although a few systemic risk management approaches have been proposed in the literature and implemented in industry, such as stress test-based scenarios, the impact of such regulations remains unclear. In this paper, we present a theoretical framework to study the impact of systemic risk management on financial institutions’ optimal wealth policies and asset prices in equilibrium. Specifically, we study the impact of the conditional VaR (CoVaR) and systemic expected shortfall (SES) constraints and illustrate the potential adverse effects of conditional risk measures when the market is under stress. We find that a proper choice of the SES constraint, especially based on option-implied information, may effectively reduce these impacts." @default.
- W4286512548 created "2022-07-22" @default.
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- W4286512548 date "2023-09-01" @default.
- W4286512548 modified "2023-10-14" @default.
- W4286512548 title "Impact of systemic risk regulation on optimal policies and asset prices" @default.
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- W4286512548 doi "https://doi.org/10.1016/j.jbankfin.2022.106621" @default.
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