000217860 001__ 217860
000217860 005__ 20181203024225.0
000217860 0247_ $$2doi$$a10.1016/j.orl.2015.10.005
000217860 022__ $$a0167-6377
000217860 02470 $$2ISI$$a000370105400001
000217860 037__ $$aARTICLE
000217860 245__ $$aUniqueness of equilibrium in a payment system with liquidation costs
000217860 260__ $$bElsevier Science Bv$$c2016$$aAmsterdam
000217860 269__ $$a2016
000217860 300__ $$a5
000217860 336__ $$aJournal Articles
000217860 520__ $$aWe 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.
000217860 6531_ $$aFinancial network
000217860 6531_ $$aSystemic risk
000217860 6531_ $$aEisenberg-Noe model
000217860 6531_ $$aAsset price contagion
000217860 700__ $$uUniv Miami, Dept Math, Coral Gables, FL 33124 USA$$aAmini, Hamed
000217860 700__ $$0244285$$g196224$$uEcole Polytech Fed Lausanne, CH-1015 Lausanne, Switzerland$$aFilipovic, Damir
000217860 700__ $$aMinca, Andreea
000217860 773__ $$j44$$tOperations Research Letters$$k1$$q1-5
000217860 909C0 $$xU12115$$0252280$$pCSF
000217860 909CO $$pCDM$$particle$$ooai:infoscience.tind.io:217860
000217860 917Z8 $$x148230
000217860 937__ $$aEPFL-ARTICLE-217860
000217860 973__ $$rREVIEWED$$sPUBLISHED$$aEPFL
000217860 980__ $$aARTICLE