Interbank asset-liability networks with fire sale management

DOI10.1016/j.jedc.2023.104734zbMath1526.91027OpenAlexW4386303543MaRDI QIDQ6087256

Grzegorz Hałaj, Zachary Feinstein

Publication date: 15 November 2023

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2023.104734

Mathematics Subject Classification ID

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

Cites Work

• Financial contagion and asset liquidation strategies
• Strategic fire-sales and price-mediated contagion in the banking system
• Uniqueness of equilibrium in a payment system with liquidation costs
• Interconnected banks and systemically important exposures
• Contagion accounting in stress-testing
• A repo model of fire sales with VWAP and LOB pricing mechanisms
• Price mediated contagion through capital ratio requirements with VWAP liquidation prices
• The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
• Capital regulation under price impacts and dynamic financial contagion
• Assessing interbank contagion using simulated networks
• Systemic Risk in Financial Systems
• Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments
• Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
• Obligations with Physical Delivery in a Multilayered Financial Network
• Network valuation in financial systems
• A generalized Nash equilibrium problem arising in banking regulation: an existence result with Tarski's theorem

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