Dynamic Leveraging–Deleveraging Games

DOI10.1287/opre.2019.1865zbMath1455.91266OpenAlexW2997665797WikidataQ126406029 ScholiaQ126406029MaRDI QIDQ5130486

Andreea Minca, Johannes Wissel

Publication date: 4 November 2020

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2019.1865

zbMATH Keywords

Nash equilibriumheterogeneous beliefssystemic riskdebt capacityfunding liquidity risk

Mathematics Subject Classification ID

Applications of game theory (91A80) Multistage and repeated games (91A20) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites Work

• Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
• Coalition-proof Nash equilibria. I: Concepts
• Coalition-proofness and correlation with arbitrary communication possibilities
• Mean field games of timing and models for bank runs
• When do creditors with heterogeneous beliefs agree to run?
• Global Games and Equilibrium Selection
• Continuous Auctions and Insider Trading
• A Multiperiod Bank Run Model for Liquidity Risk*
• Rollover risk and credit risk under time-varying margin
• Optimal cash holdings under heterogeneous beliefs

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