Uniqueness of equilibrium in a payment system with liquidation costs

Hamed Amini, Damir Filipović, Andreea Minca

Research output: Contribution to journalArticlepeer-review

21 Scopus citations


We study a financial network where forced liquidations of an illiquid asset have a negative impact on its price, thus reinforcing network contagion. We give conditions for uniqueness of the clearing asset price and liability payments. Our main result holds under mild and natural assumptions on the price impact function: monotonicity of the price impact function and strict monotonicity of the proceeds of liquidation in the liquidated quantity.

Original languageEnglish (US)
Pages (from-to)1-5
Number of pages5
JournalOperations Research Letters
Issue number1
StatePublished - Jan 1 2016


  • Asset price contagion
  • Eisenberg-Noe model
  • Financial network
  • Systemic risk

ASJC Scopus subject areas

  • Software
  • Management Science and Operations Research
  • Industrial and Manufacturing Engineering
  • Applied Mathematics


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