Financial contagion and asset liquidation strategies

被引：48
|
作者：
Feinstein, Zachary [1 ]
机构：
[1] Washington Univ, ESE, St Louis, MO 63130 USA
来源：
OPERATIONS RESEARCH LETTERS | 2017年 / 45卷 / 02期
关键词：
Systemic risk; Financial contagion; Fire sales; Financial network; SYSTEMIC RISK; NETWORKS;
D O I：
10.1016/j.orl.2017.01.004
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper provides a framework for modeling the financial system with multiple illiquid assets during a crisis. This work generalizes the paper by Amini et al. (2016) by allowing for differing liquidation strategies. The main result is a proof of sufficient conditions for the existence of an equilibrium liquidation strategy with corresponding unique clearing payments and liquidation prices. An algorithm for computing the maximal clearing payments and prices is provided. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码：109 / 114
页数：6
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