A repo model of fire sales with VWAP and LOB pricing mechanisms
Year of publication: |
2022
|
---|---|
Authors: | Bichuch, Maxim ; Feinstein, Zachary |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 296.2022, 1 (1.1.), p. 353-367
|
Subject: | Finance | Price-Mediated contagion | Repurchase agreements | Systemic risk | Repo-Geschäft | Repo transactions | Finanzkrise | Financial crisis | Systemrisiko | Finanzmarkt | Financial market | Theorie | Theory | Aktienrückkauf | Share repurchase | Ansteckungseffekt | Contagion effect |
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