英文标题：
《The Effects of Leverage Requirements and Fire Sales on Financial
Contagion via Asset Liquidation Strategies in Financial Networks》
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作者：
Zachary Feinstein and Fatena El-Masri
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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 when liquidation of illiquid assets is caused by failure to meet a leverage requirement. This extends the network model of Cifuentes, Shin & Ferrucci (2005) which incorporates a single asset with fire sales and capital adequacy ratio. This also extends the network model of Feinstein (2015) which incorporates multiple illiquid assets with fire sales and no leverage ratios. We prove existence of equilibrium clearing payments and liquidation prices for a known liquidation strategy when leverage requirements are required. We also prove sufficient conditions for the existence of an equilibrium liquidation strategy with corresponding clearing payments and liquidation prices. Finally we calibrate network models to asset and liability data for 50 banks in the United States from 2007-2014 in order to draw conclusions on systemic risk as a function of leverage requirements.
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中文摘要：
本文提供了一个框架，用于在因未能满足杠杆要求而导致非流动资产清算时，建模具有多个非流动资产的金融系统。这扩展了Cifuntes、Shin&Ferrucci（2005）的网络模型，该模型将单一资产与消防销售和资本充足率结合起来。这也扩展了Feinstein（2015）的网络模型，该模型将多个非流动资产与甩卖结合在一起，没有杠杆比率。我们证明了当需要杠杆要求时，对于已知的清算策略，均衡清算支付和清算价格的存在性。我们还证明了具有相应清算费用和清算价格的均衡清算策略存在的充分条件。最后，我们根据2007-2014年美国50家银行的资产和负债数据对网络模型进行校准，以得出系统性风险作为杠杆要求函数的结论。
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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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