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We introduce endogenous fire sales into a simple network model. For any given initial distribution of shocks across the network, we develop a clearing algorithm to solve for the financial equilibrium. We then utilise the results to perform ex ante risk assessment and derive risk premia for every...
Persistent link: https://www.econbiz.de/10013457674
In a world of radical uncertainty the frequency distributions of economic variables deviate from the normal …
Persistent link: https://www.econbiz.de/10014517948