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Cited by 555

The DOI matches its Crossref record; 43 of the 43 references it cites were found in a registry or an index.

Procyclical Leverage and Value-at-Risk

Adrian, Tobias, Shin, Hyun Song·2014·Review of Financial Studies
DOI 10.1093/rfs/hht068
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Abstract

The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks' Value-at-Risk (VaR). Motivated by the evidence, we explore a contracting model that captures the observed features. Under general conditions on the outcome distribution given by extreme value theory (EVT), intermediaries maintain a constant probability of default to shifts in the outcome distribution, implying substantial deleveraging during downturns. For some parameter values, we can solve the model explicitly, thereby endogenizing the VaR threshold probability from the contracting problem.

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Metadata

Authors
Adrian, T., & Shin, H. S.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2013-10-22
Volume
27
Issue
2
Pages
373-403
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hht068
OpenAlex
W3124258798
Cited by
555
References
43
FWCI
68.64
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Procyclical Leverage and Value-at-Risk. https://app.cochat.ai/papers/10.1093/rfs/hht068
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Adrian, T., & Shin, H. S. (2014). Procyclical Leverage and Value-at-Risk. Review of Financial Studies. https://doi.org/10.1093/rfs/hht068

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.