The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks
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Publication:2409061
DOI10.1515/strm-2015-0030zbMath1378.91134arXiv1507.01847OpenAlexW2964107883MaRDI QIDQ2409061
Fatena El-Masri, Zachary Feinstein
Publication date: 10 October 2017
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.01847
Deterministic network models in operations research (90B10) Actuarial science and mathematical finance (91G99)
Related Items (10)
An adaptive dynamical model of default contagion ⋮ Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments ⋮ Financial contagion and asset liquidation strategies ⋮ A repo model of fire sales with VWAP and LOB pricing mechanisms ⋮ Price mediated contagion through capital ratio requirements with VWAP liquidation prices ⋮ Optimization of Fire Sales and Borrowing in Systemic Risk ⋮ Obligations with Physical Delivery in a Multilayered Financial Network ⋮ Impact of contingent payments on systemic risk in financial networks ⋮ Capital regulation under price impacts and dynamic financial contagion ⋮ Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities
Cites Work
- Network models and financial stability
- Financial contagion and asset liquidation strategies
- Uniqueness of equilibrium in a payment system with liquidation costs
- FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
- RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
- Systemic Risk in Financial Systems
- Risk Assessment for Banking Systems
- An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
- Contagion in financial networks
- Measures of Systemic Risk
- Systemic Risk in Networks with a Central Node
- The Approximation of Fixed Points of a Continuous Mapping
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