A repo model of fire sales with VWAP and LOB pricing mechanisms (Q2239974): Difference between revisions

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+Uniqueness of equilibrium in a payment system with liquidation costs
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+SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE
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+Optimization of Fire Sales and Borrowing in Systemic Risk
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+Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario*
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+Strategic fire-sales and price-mediated contagion in the banking system
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+An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
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+Systemic Risk in Financial Systems
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+Financial contagion and asset liquidation strategies
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+Obligations with Physical Delivery in a Multilayered Financial Network
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+Capital regulation under price impacts and dynamic financial contagion
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+The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks
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+Existence and Uniqueness of Equilibrium Points for Concave N-Person Games
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+The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
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