Abstract
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 language | English (US) |
|---|---|
| Pages (from-to) | 1-5 |
| Number of pages | 5 |
| Journal | Operations Research Letters |
| Volume | 44 |
| Issue number | 1 |
| DOIs | |
| State | Published - Jan 1 2016 |
Fingerprint
Keywords
- Asset price contagion
- Eisenberg-Noe model
- Financial network
- Systemic risk
ASJC Scopus subject areas
- Management Science and Operations Research
- Applied Mathematics
- Industrial and Manufacturing Engineering
- Software
Cite this
Uniqueness of equilibrium in a payment system with liquidation costs. / Amini, Leo Hamed; Filipović, Damir; Minca, Andreea.
In: Operations Research Letters, Vol. 44, No. 1, 01.01.2016, p. 1-5.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Uniqueness of equilibrium in a payment system with liquidation costs
AU - Amini, Leo Hamed
AU - Filipović, Damir
AU - Minca, Andreea
PY - 2016/1/1
Y1 - 2016/1/1
N2 - 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.
AB - 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.
KW - Asset price contagion
KW - Eisenberg-Noe model
KW - Financial network
KW - Systemic risk
UR - http://www.scopus.com/inward/record.url?scp=84947704864&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84947704864&partnerID=8YFLogxK
U2 - 10.1016/j.orl.2015.10.005
DO - 10.1016/j.orl.2015.10.005
M3 - Article
AN - SCOPUS:84947704864
VL - 44
SP - 1
EP - 5
JO - Operations Research Letters
JF - Operations Research Letters
SN - 0167-6377
IS - 1
ER -