An integrated model for fire sales and default contagion

DOI10.1007/S11579-020-00273-YzbMATH Open1461.91339OpenAlexW3037590945MaRDI QIDQ829209FDOQ829209

Authors: Nils Detering, Thilo Meyer-Brandis, Daniel Ritter, Konstantinos Panagiotou 

Publication date: 5 May 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-020-00273-y

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zbMATH Keywords

systemic riskfinancial contagioncapital requirementsdefault contagionasset fire salesprice-mediated contagion

Mathematics Subject Classification ID

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

Cites Work

• Fast unfolding of communities in large networks
• Risk-consistent conditional systemic risk measures
• Systemic risk in financial systems
• Systemic risk measures on general measurable spaces
• Identifying Community Structures from Network Data via Maximum Likelihood Methods
• Contagion in financial networks
• Differential equations for random processes and random graphs
• Measures of systemic risk
• Multivariate Shortfall Risk Allocation and Systemic Risk
• A unified approach to systemic risk measures via acceptance sets
• Managing Default Contagion in Inhomogeneous Financial Networks
• The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
• Bootstrap percolation in directed inhomogeneous random graphs
• Contagion! Systemic risk in financial networks
• Liability concentration and systemic losses in financial networks
• Core-periphery structure in networks (revisited)

Cited In (10)

• Double cascade model of financial crises
• Distress and default contagion in financial networks
• Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach
• Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
• Strategic fire-sales and price-mediated contagion in the banking system
• Optimization of fire sales and borrowing in systemic risk
• Capital regulation under price impacts and dynamic financial contagion
• Bank panics and fire sales, insolvency and illiquidity
• Fire sales forensics: measuring endogenous risk
• Interbank asset-liability networks with fire sale management

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