Obligations with Physical Delivery in a Multilayered Financial Network

DOI10.1137/18M1194729zbMath1471.91606arXiv1702.07936OpenAlexW2983837030WikidataQ126830451 ScholiaQ126830451MaRDI QIDQ5215984

Zachary Feinstein

Publication date: 14 February 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.07936

zbMATH Keywords

financial networkfinancial contagionsystematic risktâtonnement processfire sales

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (9)

Contingent Convertible Obligations and Financial Stability ⋮ Short Communication: Clearing Prices under Margin Calls and the Short Squeeze ⋮ Interbank asset-liability networks with fire sale management ⋮ Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments ⋮ Optimal network compression ⋮ Multi-period liability clearing via convex optimal control ⋮ A repo model of fire sales with VWAP and LOB pricing mechanisms ⋮ Capital regulation under price impacts and dynamic financial contagion ⋮ Continuity and sensitivity analysis of parameterized Nash games

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