The impact of systemic and illiquidity risk on financing with risky collateral
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Publication:1623973
DOI10.1016/J.JEDC.2014.07.004zbMATH Open1402.91918OpenAlexW3124447802MaRDI QIDQ1623973FDOQ1623973
Authors: Fabrizio Lillo, Davide Pirino 
Publication date: 15 November 2018
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2014.07.004
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Statistical methods; risk measures (91G70) Portfolio theory (91G10) Financial applications of other theories (91G80)
Cites Work
- Price Manipulation and Quasi-Arbitrage
- Continuous Auctions and Insider Trading
- The Distribution of Products of Beta, Gamma and Gaussian Random Variables
- Leverage causes fat tails and clustered volatility
- What really causes large price changes?
- Fire sales forensics: measuring endogenous risk
- Liquidating illiquid collateral
- When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
- Market procyclicality and systemic risk
Cited In (7)
- Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach
- Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
- Reconstructing and stress testing credit networks
- When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
- Central bank haircut policy
- The impact of CoCo bonds on systemic risk considering liquidity risk
- Collateralized Borrowing and Default Risk
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