Suffocating Fire Sales

DOI10.1137/20M1379800zbMath1483.91250arXiv2006.08110OpenAlexW4210316488MaRDI QIDQ5029933

Daniel Ritter, Nils Detering, Thilo Meyer-Brandis, Konstantinos D. Panagiotou

Publication date: 15 February 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.08110

zbMATH Keywords

systemic riskfire saleslarge financial systems

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (3)

Market Efficient Portfolios in a Systemic Economy ⋮ Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments ⋮ Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks

Cites Work

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• FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
• RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
• Systemic Risk in Financial Systems
• An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
• Risk in a Large Claims Insurance Market with Bipartite Graph Structure
• Measures of Systemic Risk
• Multivariate Shortfall Risk Allocation and Systemic Risk
• Managing Default Contagion in Inhomogeneous Financial Networks
• FINANCIAL CONTAGION IN A STOCHASTIC BLOCK MODEL

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