The impact of systemic and illiquidity risk on financing with risky collateral
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Publication:1623973
DOI10.1016/j.jedc.2014.07.004zbMath1402.91918OpenAlexW3124447802MaRDI QIDQ1623973
Publication date: 15 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2014.07.004
Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (4)
Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction ⋮ When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification ⋮ Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach ⋮ Reconstructing and stress testing credit networks
Cites Work
- Liquidating illiquid collateral
- FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
- Leverage causes fat tails and clustered volatility
- When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
- Continuous Auctions and Insider Trading
- Market procyclicality and systemic risk
- What really causes large price changes?
- Price Manipulation and Quasi-Arbitrage
- The Distribution of Products of Beta, Gamma and Gaussian Random Variables
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