英文标题：
《Financial Contagion and Asset Liquidation Strategies》
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作者：
Zachary Feinstein
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最新提交年份：
2016
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英文摘要：
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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中文摘要：
本文提供了一个框架，用于在危机期间对具有多个非流动资产的金融系统进行建模。这项工作通过考虑不同的清算策略，概括了阿米尼、菲利波维奇和明卡（2016）的论文。主要结果是证明了均衡清算策略存在的充分条件，以及相应的唯一清算支付和清算价格。给出了一种计算最大清算支付和价格的算法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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