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research article
Uniqueness of equilibrium in a payment system with liquidation costs
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. (C) 2015 Elsevier B.V. All rights reserved.
Type
research article
Web of Science ID
WOS:000370105400001
Authors
Publication date
2016
Publisher
Published in
Volume
44
Issue
1
Start page
1
End page
5
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
April 1, 2016
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