Liquidating illiquid collateral
نویسندگان
چکیده
منابع مشابه
Liquidating illiquid collateral
Defaults of financial institutions can cause large, disorderly asset liquidations. I model the dynamics of such liquidations as a continuous-time trading game, in which following a default, balance-sheet constrained lenders unwind illiquid collateral positions. I show that (i) the equilibrium price of the collateral asset overshoots during liquidation when the lenders who liquidate the collater...
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2014
ISSN: 0022-0531
DOI: 10.1016/j.jet.2013.02.001