Financial Contagion and Asset Liquidation Strategies
classification
💱 q-fin.RM
keywords
liquidationclearingfinancialpaymentspricesstrategiesalgorithmallowing
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This paper provides a framework for modeling the financial system with multiple illiquid assets during a crisis. This work generalizes the paper by Amini, Filipovic and Minca (2016) by allowing for differing liquidation strategies. The main result is a proof of sufficient conditions for the existence of an equilibrium liquidation strategy with corresponding unique clearing payments and liquidation prices. An algorithm for computing the maximal clearing payments and prices is provided.
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