Dynamic Leveraging–Deleveraging Games

DOI10.1287/OPRE.2019.1865MaRDI QIDQ5130486zbMATH OpenOpenAlexWikidataFDO

Authors Andreea Minca, Johannes Wissel

Publication date 4 November 2020

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.2019.1865

zbMATH Keywords

debt capacityfunding liquidity riskheterogeneous beliefsNash equilibriumsystemic risk

Mathematics Subject Classification ID

Multistage and repeated games (91A20) Applications of game theory (91A80) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• A multiperiod bank run model for liquidity risk
• Coalition-proof Nash equilibria. I: Concepts
• Coalition-proofness and correlation with arbitrary communication possibilities
• Continuous Auctions and Insider Trading
• Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
• Global Games and Equilibrium Selection
• Mean field games of timing and models for bank runs
• Optimal cash holdings under heterogeneous beliefs
• Rollover risk and credit risk under time-varying margin
• When do creditors with heterogeneous beliefs agree to run?

Cited in

(9)

• The dynamics of the leverage cycle
• Timing games with irrational types: leverage-driven bubbles and crash-contingent claims
• A model of leverage based on risk sharing
• Macroeconomic dynamics of assets, leverage and trust
• Tradeoff theory and leverage dynamics of high-frequency debt issuers
• While stability lasts: A stochastic model of noncustodial stablecoins
• Dynamic debt issuance with jumps
• Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks
• Leveraged network-based financial accelerator

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