A repo model of fire sales with VWAP and LOB pricing mechanisms
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Publication:2239974
DOI10.1016/j.ejor.2021.04.040zbMath1487.91152arXiv2005.05364OpenAlexW3157851980MaRDI QIDQ2239974
Zachary Feinstein, Maxim Bichuch
Publication date: 5 November 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.05364
Related Items (4)
Endogenous Inverse Demand Functions ⋮ Reverse stress testing: Scenario design for macroprudential stress tests ⋮ Interbank asset-liability networks with fire sale management ⋮ Clustering heterogeneous financial networks
Cites Work
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- Capital regulation under price impacts and dynamic financial contagion
- The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks
- Systemic Risk in Financial Systems
- An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
- Obligations with Physical Delivery in a Multilayered Financial Network
- Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario*
- Existence and Uniqueness of Equilibrium Points for Concave N-Person Games
- Optimization of Fire Sales and Borrowing in Systemic Risk
- SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE
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