Cifuentes, Rodrigo; Shin, Hyun Song; Ferrucci, Gianluigi - In: Journal of the European Economic Association 3 (2005) 2-3, pp. 556-566
This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark their assets to market. When the market's demand for illiquid assets is less than perfectly elastic, sales by distressed...
