The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks

DOI10.1515/strm-2015-0030zbMath1378.91134arXiv1507.01847OpenAlexW2964107883MaRDI QIDQ2409061

Fatena El-Masri, Zachary Feinstein

Publication date: 10 October 2017

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.01847

zbMATH Keywords

financial networksystemic riskfinancial contagionfire salesleverage requirements

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Actuarial science and mathematical finance (91G99)

Related Items (10)

An adaptive dynamical model of default contagion ⋮ Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments ⋮ Financial contagion and asset liquidation strategies ⋮ A repo model of fire sales with VWAP and LOB pricing mechanisms ⋮ Price mediated contagion through capital ratio requirements with VWAP liquidation prices ⋮ Optimization of Fire Sales and Borrowing in Systemic Risk ⋮ Obligations with Physical Delivery in a Multilayered Financial Network ⋮ Impact of contingent payments on systemic risk in financial networks ⋮ Capital regulation under price impacts and dynamic financial contagion ⋮ Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities

Cites Work

• Network models and financial stability
• Financial contagion and asset liquidation strategies
• Uniqueness of equilibrium in a payment system with liquidation costs
• FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
• RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
• Systemic Risk in Financial Systems
• Risk Assessment for Banking Systems
• An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
• Contagion in financial networks
• Measures of Systemic Risk
• Systemic Risk in Networks with a Central Node
• The Approximation of Fixed Points of a Continuous Mapping

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