Strategic fire-sales and price-mediated contagion in the banking system
From MaRDI portal
Publication:1755425
DOI10.1016/J.EJOR.2018.11.012zbMath1431.91417OpenAlexW2756868940WikidataQ128934638 ScholiaQ128934638MaRDI QIDQ1755425
Yann Braouezec, Lakshithe Wagalath
Publication date: 9 January 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2018.11.012
financeprice-mediated contagionCCAR 2015macro-prudential stress-testsNash equilibrium with strategic complementarities
Related Items (11)
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze ⋮ Endogenous Inverse Demand Functions ⋮ Reverse stress testing: Scenario design for macroprudential stress tests ⋮ Interbank asset-liability networks with fire sale management ⋮ Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods ⋮ A generalized Nash equilibrium problem arising in banking regulation: an existence result with Tarski's theorem ⋮ Economic foundations of generalized games with shared constraint: do binding agreements lead to less Nash equilibria? ⋮ A repo model of fire sales with VWAP and LOB pricing mechanisms ⋮ Price mediated contagion through capital ratio requirements with VWAP liquidation prices ⋮ Capital regulation under price impacts and dynamic financial contagion ⋮ Continuity and sensitivity analysis of parameterized Nash games
Cites Work
- Unnamed Item
- Take it to the limit: innovative CVaR applications to extreme credit risk measurement
- The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach
- Nash equilibrium with strategic complementarities
- Finding all equilibria in games of strategic complements
- On the existence of Cournot equilibrium without concave profit functions
- Financial contagion and asset liquidation strategies
- Existence and solution methods for equilibria
- A lattice-theoretical fixpoint theorem and its applications
- FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
- Fear of Fire Sales, Illiquidity Seeking, and Credit Freezes *
- Systemic Risk in Financial Systems
- Risk Assessment for Banking Systems
- An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
- Rationalizability, Learning, and Equilibrium in Games with Strategic Complementarities
- Predatory Short Selling*
- Market Microstructure Invariance: Empirical Hypotheses
- Handbook on Systemic Risk
- Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario*
This page was built for publication: Strategic fire-sales and price-mediated contagion in the banking system
