Liquidating illiquid collateral

DOI10.1016/J.JET.2013.02.001MaRDI QIDQ2434347zbMATH OpenOpenAlexFDO

Authors Martin Oehmke

Publication date 5 February 2014

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/84518/

zbMATH Keywords

collateralilliquidityliquidationfire salesrepo marketcounterparty risk managementcreditor structure

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• Liquidity and liquidation
• Optimal liquidation trajectories for the Almgren-Chriss model
• Optimal asset liquidation with multiplicative transient price impact
• Optimal liquidation under stochastic price impact
• Optimal execution strategy of liquidation

Cites work

• scientific article; zbMATH DE number 50791 (Why is no real title available?)
• scientific article; zbMATH DE number 706270 (Why is no real title available?)
• scientific article; zbMATH DE number 1734466 (Why is no real title available?)
• Continuous Auctions and Insider Trading
• Optimal Liquidity Trading*
• Optimal Portfolio Liquidation with Distress Risk
• Price Manipulation and Quasi-Arbitrage

Cited in

(6)

• Introduction to financial economics
• Collateral once again
• The impact of systemic and illiquidity risk on financing with risky collateral
• A repo model of fire sales with VWAP and LOB pricing mechanisms
• The shadow costs of repos and bank liability structure
• Fear of fire sales, illiquidity seeking, and credit freezes

This page was built for publication: Liquidating illiquid collateral

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2434347)