Optimization of Fire Sales and Borrowing in Systemic Risk
Optimization of Fire Sales and Borrowing in Systemic Risk
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DOI：
10.1137/18m1195425
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发表时间：
2019-01-01
影响因子：
1
通讯作者：
Feinstein, Zachary
中科院分区：
文献类型：
--
作者：
Bichuch, Maxim;Feinstein, Zachary
本文提供了一个框架，在网络中的火灾销售和价格的影响，但允许企业借款，以弥补他们的短缺，以及金融传染建模。我们考虑无抵押和抵押贷款。本文的主要结果是给出了清算解的存在唯一性的充分条件（即，支付、清算和借款）;在这种情况下，任何清算解决方案都是聚合博弈的纳什均衡。
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as well. We consider both uncollateralized and collateralized loans. The main results of this work are providing sufficient conditions for the existence and uniqueness of the clearing solutions (i.e., payments, liquidations, and borrowing); in such a setting, any clearing solution is the Nash equilibrium of an aggregation game.