Uniqueness of equilibrium in a payment system with liquidation costs

Hamed Amini; Damir Filipović; Andreea Minca

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

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Year of publication:	2015 ; This version: October 22, 2015
Authors:	Amini, Hamed ; Filipović, Damir ; Minca, Andreea
Publisher:	Geneva : Swiss Finance Institute
Subject:	Financial Network \| Systemic Risk \| Eiseberg Noe Model \| Asset Price Contagion \| Theorie \| Theory \| CAPM \| Zahlungsverkehr \| Payment system \| Finanzmarkt \| Financial market \| Systemrisiko \| Systemic risk \| Ansteckungseffekt \| Contagion effect \| Bankenliquidität \| Bank liquidity

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Extent:	Online-Ressource (11 S.)
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. 15,20
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	forthcoming in "Operations research letters" Systemvoraussetzungen: PDF Reader
Other identifiers:	10.2139/ssrn.2619512 [DOI]
Classification:	C44 - Statistical Decision Theory; Operations Research ; c54 ; C62 - Existence and Stability Conditions of Equilibrium ; G01 - Financial Crises ; G18 - Government Policy and Regulation ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011410730