Matches in SemOpenAlex for { <https://semopenalex.org/work/W2950884828> ?p ?o ?g. }
Showing items 1 to 76 of
76
with 100 items per page.
- W2950884828 abstract "We consider a price-mediated contagion framework in which each bank, after an exogenous shock, may have to sell assets in order to comply with regulatory constraints. Interaction between banks takes place only through price impact. We characterize the equilibrium of the strategic deleveraging problem and we calibrate our model to publicly-available data, the US banks that were part of the 2015 regulatory stress-tests. We then consider a more sophisticated model in which each bank is exposed to two risky assets (marketable and not marketable) and is only able to sell the marketable asset. We calibrate our model using the six banks with significant trading operations and we show that, depending on the price impact, the contagion of failures may be significant. Our results may be used to refine current stress testing frameworks by incorporating potential contagion mechanisms between banks." @default.
- W2950884828 created "2019-06-27" @default.
- W2950884828 creator A5022162606 @default.
- W2950884828 creator A5023050364 @default.
- W2950884828 date "2017-01-01" @default.
- W2950884828 modified "2023-09-23" @default.
- W2950884828 title "Strategic Fire-Sales and Price-Mediated Contagion in the Banking System" @default.
- W2950884828 doi "https://doi.org/10.2139/ssrn.3033785" @default.
- W2950884828 hasPublicationYear "2017" @default.
- W2950884828 type Work @default.
- W2950884828 sameAs 2950884828 @default.
- W2950884828 citedByCount "2" @default.
- W2950884828 countsByYear W29508848282013 @default.
- W2950884828 countsByYear W29508848282019 @default.
- W2950884828 crossrefType "journal-article" @default.
- W2950884828 hasAuthorship W2950884828A5022162606 @default.
- W2950884828 hasAuthorship W2950884828A5023050364 @default.
- W2950884828 hasConcept C10138342 @default.
- W2950884828 hasConcept C120527767 @default.
- W2950884828 hasConcept C126322002 @default.
- W2950884828 hasConcept C144133560 @default.
- W2950884828 hasConcept C162324750 @default.
- W2950884828 hasConcept C175444787 @default.
- W2950884828 hasConcept C182306322 @default.
- W2950884828 hasConcept C199360897 @default.
- W2950884828 hasConcept C2779019792 @default.
- W2950884828 hasConcept C2781300812 @default.
- W2950884828 hasConcept C38652104 @default.
- W2950884828 hasConcept C41008148 @default.
- W2950884828 hasConcept C556758197 @default.
- W2950884828 hasConcept C71924100 @default.
- W2950884828 hasConcept C7515471 @default.
- W2950884828 hasConcept C76178495 @default.
- W2950884828 hasConceptScore W2950884828C10138342 @default.
- W2950884828 hasConceptScore W2950884828C120527767 @default.
- W2950884828 hasConceptScore W2950884828C126322002 @default.
- W2950884828 hasConceptScore W2950884828C144133560 @default.
- W2950884828 hasConceptScore W2950884828C162324750 @default.
- W2950884828 hasConceptScore W2950884828C175444787 @default.
- W2950884828 hasConceptScore W2950884828C182306322 @default.
- W2950884828 hasConceptScore W2950884828C199360897 @default.
- W2950884828 hasConceptScore W2950884828C2779019792 @default.
- W2950884828 hasConceptScore W2950884828C2781300812 @default.
- W2950884828 hasConceptScore W2950884828C38652104 @default.
- W2950884828 hasConceptScore W2950884828C41008148 @default.
- W2950884828 hasConceptScore W2950884828C556758197 @default.
- W2950884828 hasConceptScore W2950884828C71924100 @default.
- W2950884828 hasConceptScore W2950884828C7515471 @default.
- W2950884828 hasConceptScore W2950884828C76178495 @default.
- W2950884828 hasLocation W29508848281 @default.
- W2950884828 hasOpenAccess W2950884828 @default.
- W2950884828 hasPrimaryLocation W29508848281 @default.
- W2950884828 hasRelatedWork W1563730911 @default.
- W2950884828 hasRelatedWork W1588060911 @default.
- W2950884828 hasRelatedWork W1603958426 @default.
- W2950884828 hasRelatedWork W1926018174 @default.
- W2950884828 hasRelatedWork W2071546312 @default.
- W2950884828 hasRelatedWork W2129595044 @default.
- W2950884828 hasRelatedWork W2130997000 @default.
- W2950884828 hasRelatedWork W2171948031 @default.
- W2950884828 hasRelatedWork W2407213794 @default.
- W2950884828 hasRelatedWork W2552485254 @default.
- W2950884828 hasRelatedWork W2573180765 @default.
- W2950884828 hasRelatedWork W279217429 @default.
- W2950884828 hasRelatedWork W3021915290 @default.
- W2950884828 hasRelatedWork W3121183287 @default.
- W2950884828 hasRelatedWork W3121238780 @default.
- W2950884828 hasRelatedWork W3122509560 @default.
- W2950884828 hasRelatedWork W3124390608 @default.
- W2950884828 hasRelatedWork W3124744071 @default.
- W2950884828 hasRelatedWork W3139804159 @default.
- W2950884828 hasRelatedWork W3154308111 @default.
- W2950884828 isParatext "false" @default.
- W2950884828 isRetracted "false" @default.
- W2950884828 magId "2950884828" @default.
- W2950884828 workType "article" @default.