ECB paper presents new model for ‘fire sale’ contagion

A working paper published by the European Central Bank presents a new model to look at the risk of contagion caused by “fire sales” of distressed financial firms’ assets.

In Simulating fire sales in a system of banks and asset managers, Susanna Calimani, Grzegorz Hałaj and Dawid Żochowski develop an agent-based model. Their paper introduces a market-clearing mechanism where asset prices are endogenously formed.

They find that banks which are active in both the interbank and securities markets

You are currently unable to copy this content. Please contact [email protected] to find out more.

Source link

Free Course

"Double Your Traffic in 30 days" + Secret Bonus

valued at $299

This amazing course will teach you, step by step, how to double if not triple your traffic over the next 30 days.

100% Privacy. We will never spam you!