The impact of systemic and illiquidity risk on financing with risky collateral

DOI10.1016/j.jedc.2014.07.004zbMath1402.91918OpenAlexW3124447802MaRDI QIDQ1623973

Davide Pirino, Fabrizio Lillo

Publication date: 15 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.07.004

zbMATH Keywords

repoilliquiditysystemic riskliquidationhaircutportfolio overlap

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (4)

Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction ⋮ When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification ⋮ Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach ⋮ Reconstructing and stress testing credit networks

Cites Work

• Liquidating illiquid collateral
• FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
• Leverage causes fat tails and clustered volatility
• When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
• Continuous Auctions and Insider Trading
• Market procyclicality and systemic risk
• What really causes large price changes?
• Price Manipulation and Quasi-Arbitrage
• The Distribution of Products of Beta, Gamma and Gaussian Random Variables

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