Risk appetite and endogenous risk
Danielsson, J., H. S. Shin, and J.-P. Zigrand (2009). Risk appetite and endogenous risk.
Abstract
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
BibTeX
@article{DanielssonShinZigrand2009b,
author = {J{\'o}n Dan{\'i}elsson and Hyun Song Shin and Jean-Pierre Zigrand},
title = {Risk appetite and endogenous risk},
abstract = {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 },
year = {2009},
}