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.


Publié dans:
Operations Research Letters, 44, 1, 1-5
Année
2016
Publisher:
Amsterdam, Elsevier Science Bv
ISSN:
0167-6377
Mots-clefs:
Laboratoires:




 Notice créée le 2016-04-01, modifiée le 2019-12-05


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