Interbank asset-liability networks with fire sale management
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Publication:6087256
DOI10.1016/j.jedc.2023.104734zbMath1526.91027OpenAlexW4386303543MaRDI QIDQ6087256
Grzegorz Hałaj, Zachary Feinstein
Publication date: 15 November 2023
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2023.104734
Cites Work
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- Uniqueness of equilibrium in a payment system with liquidation costs
- Interconnected banks and systemically important exposures
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- A repo model of fire sales with VWAP and LOB pricing mechanisms
- Price mediated contagion through capital ratio requirements with VWAP liquidation prices
- The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
- Capital regulation under price impacts and dynamic financial contagion
- Assessing interbank contagion using simulated networks
- Systemic Risk in Financial Systems
- Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments
- Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
- Obligations with Physical Delivery in a Multilayered Financial Network
- Network valuation in financial systems
- A generalized Nash equilibrium problem arising in banking regulation: an existence result with Tarski's theorem
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