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Publikováno v:
Journal of Monetary Economics. 125:182-198
Before the 2008 crisis, the cross-sectional skewness of banks’ leverage went up and macro risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing banks with heterogeneous Value-at-Risk constraints, we extract the
Before the 2008 crisis, the cross-sectional skewness of banks’ leverage went up and macro risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing banks with heterogeneous Value-at-Risk constraints, we extract the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1967572c21e61dd8575b2962f29043dd
https://lbsresearch.london.edu/id/eprint/1972/1/1-s2.0-S0304393221000878-main.pdf
https://lbsresearch.london.edu/id/eprint/1972/1/1-s2.0-S0304393221000878-main.pdf
Publikováno v:
SSRN Electronic Journal.
Autor:
Mishita Mehra, Daisoon Kim
Publikováno v:
SSRN Electronic Journal.