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Risk and Liquidity - Oxford Scholarship Online
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Risk and Liquidity

Hyun Song Shin


Risk is endogenous. It builds up during booms, as measured risks fall and individual market participants increase their risk-taking. Risk is then manifested during downturns, as measured risks rise and individual market participants recoil from risk taking. Prices (including the market price of risk) therefore play a dual role: they are simultaneously a reflection of market participants’ actions as well as an imperative for their actions. This book is organized around several practical examples in financial economics that illustrate these principles.

Keywords: Value-at-Risk, leverage, financial crises, credit booms, endogenous risk, systemic risk

Bibliographic Information

Print publication date: 2019 Print ISBN-13: 9780198847069
Published to Oxford Scholarship Online: October 2019 DOI:10.1093/oso/9780198847069.001.0001


Affiliations are at time of print publication.

Hyun Song Shin, author
Hughes-Rogers Professor of Economics, Princeton University, USA