SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE
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Publication:5854310
DOI10.1142/S0219024920500430zbMath1459.91215MaRDI QIDQ5854310
Publication date: 16 March 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial networks (including contagion, systemic risk, regulation) (91G45)
Related Items (2)
A repo model of fire sales with VWAP and LOB pricing mechanisms ⋮ Optimization of Fire Sales and Borrowing in Systemic Risk
Cites Work
- Network models and financial stability
- The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
- Forward-looking solvency contagion
- Systemic Risk in Financial Systems
- Relationship Lending in the Interbank Market and the Price of Liquidity
- Network topology of the interbank market
- Filling in the blanks: network structure and interbank contagion
- Modelling the emergence of the interbank networks
- Existence and Uniqueness of Equilibrium Points for Concave N-Person Games
- Optimization of Fire Sales and Borrowing in Systemic Risk
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