Matches in SemOpenAlex for { <https://semopenalex.org/work/W2877223059> ?p ?o ?g. }
Showing items 1 to 97 of
97
with 100 items per page.
- W2877223059 abstract "We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight based capital ratio requirement. We use this model to find analytical bounds on the risk-weights for assets as a function of the market liquidity. Under these appropriate risk-weights, we find existence and uniqueness for the joint system of firm behavior and the asset prices. We further consider an analytical bound on the firm liquidations, which allows us to construct exact formulas for stress testing the financial system with deterministic or random stresses. Numerical case studies are provided to demonstrate various implications of this model and analytical bounds." @default.
- W2877223059 created "2018-07-19" @default.
- W2877223059 creator A5045209801 @default.
- W2877223059 date "2018-07-07" @default.
- W2877223059 modified "2023-09-27" @default.
- W2877223059 title "Capital Regulation under Price Impacts and Dynamic Financial Contagion." @default.
- W2877223059 cites W1611799189 @default.
- W2877223059 cites W2047098017 @default.
- W2877223059 cites W2127288111 @default.
- W2877223059 cites W2146304265 @default.
- W2877223059 cites W2162337502 @default.
- W2877223059 cites W2345290176 @default.
- W2877223059 cites W2756868940 @default.
- W2877223059 cites W2962982919 @default.
- W2877223059 cites W2964107883 @default.
- W2877223059 cites W2983837030 @default.
- W2877223059 cites W3022003559 @default.
- W2877223059 cites W3121527376 @default.
- W2877223059 cites W3124066230 @default.
- W2877223059 cites W3124498556 @default.
- W2877223059 cites W3125456580 @default.
- W2877223059 cites W3125549285 @default.
- W2877223059 hasPublicationYear "2018" @default.
- W2877223059 type Work @default.
- W2877223059 sameAs 2877223059 @default.
- W2877223059 citedByCount "0" @default.
- W2877223059 crossrefType "posted-content" @default.
- W2877223059 hasAuthorship W2877223059A5045209801 @default.
- W2877223059 hasConcept C10138342 @default.
- W2877223059 hasConcept C134306372 @default.
- W2877223059 hasConcept C14036430 @default.
- W2877223059 hasConcept C149782125 @default.
- W2877223059 hasConcept C162324750 @default.
- W2877223059 hasConcept C166957645 @default.
- W2877223059 hasConcept C175444787 @default.
- W2877223059 hasConcept C183582576 @default.
- W2877223059 hasConcept C19244329 @default.
- W2877223059 hasConcept C199360897 @default.
- W2877223059 hasConcept C2777021972 @default.
- W2877223059 hasConcept C2780801425 @default.
- W2877223059 hasConcept C33923547 @default.
- W2877223059 hasConcept C38652104 @default.
- W2877223059 hasConcept C41008148 @default.
- W2877223059 hasConcept C556758197 @default.
- W2877223059 hasConcept C76178495 @default.
- W2877223059 hasConcept C78458016 @default.
- W2877223059 hasConcept C83646750 @default.
- W2877223059 hasConcept C86803240 @default.
- W2877223059 hasConcept C95457728 @default.
- W2877223059 hasConceptScore W2877223059C10138342 @default.
- W2877223059 hasConceptScore W2877223059C134306372 @default.
- W2877223059 hasConceptScore W2877223059C14036430 @default.
- W2877223059 hasConceptScore W2877223059C149782125 @default.
- W2877223059 hasConceptScore W2877223059C162324750 @default.
- W2877223059 hasConceptScore W2877223059C166957645 @default.
- W2877223059 hasConceptScore W2877223059C175444787 @default.
- W2877223059 hasConceptScore W2877223059C183582576 @default.
- W2877223059 hasConceptScore W2877223059C19244329 @default.
- W2877223059 hasConceptScore W2877223059C199360897 @default.
- W2877223059 hasConceptScore W2877223059C2777021972 @default.
- W2877223059 hasConceptScore W2877223059C2780801425 @default.
- W2877223059 hasConceptScore W2877223059C33923547 @default.
- W2877223059 hasConceptScore W2877223059C38652104 @default.
- W2877223059 hasConceptScore W2877223059C41008148 @default.
- W2877223059 hasConceptScore W2877223059C556758197 @default.
- W2877223059 hasConceptScore W2877223059C76178495 @default.
- W2877223059 hasConceptScore W2877223059C78458016 @default.
- W2877223059 hasConceptScore W2877223059C83646750 @default.
- W2877223059 hasConceptScore W2877223059C86803240 @default.
- W2877223059 hasConceptScore W2877223059C95457728 @default.
- W2877223059 hasLocation W28772230591 @default.
- W2877223059 hasOpenAccess W2877223059 @default.
- W2877223059 hasPrimaryLocation W28772230591 @default.
- W2877223059 hasRelatedWork W1487127126 @default.
- W2877223059 hasRelatedWork W1507972936 @default.
- W2877223059 hasRelatedWork W1521797321 @default.
- W2877223059 hasRelatedWork W1539827469 @default.
- W2877223059 hasRelatedWork W1563202949 @default.
- W2877223059 hasRelatedWork W1607058296 @default.
- W2877223059 hasRelatedWork W1999829305 @default.
- W2877223059 hasRelatedWork W2133850480 @default.
- W2877223059 hasRelatedWork W2145767567 @default.
- W2877223059 hasRelatedWork W2155875745 @default.
- W2877223059 hasRelatedWork W2204818377 @default.
- W2877223059 hasRelatedWork W2210026664 @default.
- W2877223059 hasRelatedWork W2563619572 @default.
- W2877223059 hasRelatedWork W2965165744 @default.
- W2877223059 hasRelatedWork W3121919543 @default.
- W2877223059 hasRelatedWork W3122660692 @default.
- W2877223059 hasRelatedWork W3123319286 @default.
- W2877223059 hasRelatedWork W3124855953 @default.
- W2877223059 hasRelatedWork W3125670081 @default.
- W2877223059 hasRelatedWork W2187161102 @default.
- W2877223059 isParatext "false" @default.
- W2877223059 isRetracted "false" @default.
- W2877223059 magId "2877223059" @default.
- W2877223059 workType "article" @default.