Optimal stress tests and liquidation cost

DOI10.1016/j.jedc.2022.104568zbMath1518.91305OpenAlexW4309378312MaRDI QIDQ6106632

Jiadong Gu

Publication date: 3 July 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.2022.104568

zbMATH Keywords

bankingstress testBayesian persuasioninformation designliquidation cost

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• The law of large numbers with a continuum of i.i.d. random variables
• Stress tests and information disclosure
• Government guarantees and financial stability
• Optimal monotone signals in Bayesian persuasion mechanisms
• Global manipulation by local obfuscation
• Bank Runs, Deposit Insurance, and Liquidity
• Bayes correlated equilibrium and the comparison of information structures in games
• Runs versus Lemons: Information Disclosure and Fiscal Capacity