Loading...
Please wait, while we are loading the content...
Similar Documents
Optimization of Fire Sales and Borrowing in Systemic Risk
| Content Provider | Scilit |
|---|---|
| Author | Bichuch, Maxim Feinstein, Zachary |
| Copyright Year | 2018 |
| Description | Journal: SSRN Electronic Journal This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as well. We consider both uncollateralized and collateralized loans. The main results of this work are providing sufficient conditions for existence and uniqueness of the clearing solutions (i.e., payments, liquidations, and borrowing); in such a setting any clearing solution is the Nash equilibrium of an aggregation game. |
| Related Links | http://arxiv.org/pdf/1802.04232 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3122595 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3122595 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2018-02-12 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Operations Research and Management Science Systemic Risk Fire Sales Financial Contagion |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |