Interbank Asset-Liability Networks with Fire Sale Management
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Cited by:
- Bichuch, Maxim & Feinstein, Zachary, 2022. "A repo model of fire sales with VWAP and LOB pricing mechanisms," European Journal of Operational Research, Elsevier, vol. 296(1), pages 353-367.
- Caccioli, Fabio & Ferrara, Gerardo & Ramadiah, Amanah, 2024.
"Modelling fire sale contagion across banks and non-banks,"
Journal of Financial Stability, Elsevier, vol. 71(C).
- Caccioli, Fabio & Ferrara, Gerardo & Ramadiah, Amanah, 2020. "Modelling fire sale contagion across banks and non-banks," Bank of England working papers 878, Bank of England, revised 18 Feb 2021.
- Banerjee, Tathagata & Feinstein, Zachary, 2021. "Price mediated contagion through capital ratio requirements with VWAP liquidation prices," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1147-1160.
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Keywords
Financial stability; Financial system regulation and policies; Payment clearing and settlement systems;All these keywords.
JEL classification:
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2020-10-19 (Banking)
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