论文标题
带有VWAP和LOB定价机制的火灾销售的回购模型
A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms
论文作者
论文摘要
我们考虑了一个银行网络，该网络可以最佳地选择资产清算策略和借贷以涵盖短期义务。借款是以抵押回购协议的形式进行的，其理发水平取决于所有银行的总清算。同样，每家银行获得的资产的火灾价格取决于银行本身和其他银行清算的资产数量。从这种设置的本质上讲，银行的行为被视为纳什均衡。本文提供了两种形式的市场清理形式：通过共同的收盘价和限制订单簿的应用。这项工作的主要结果是提供最大和最小清算解决方案（即清算，借贷，销售价格和发型水平）以及清算解决方案独特性的足够条件。
We consider a network of banks that optimally choose a strategy of asset liquidations and borrowing in order to cover short term obligations. The borrowing is done in the form of collateralized repurchase agreements, the haircut level of which depends on the total liquidations of all the banks. Similarly the fire-sale price of the asset obtained by each of the banks depends on the amount of assets liquidated by the bank itself and by other banks. By nature of this setup, banks' behavior is considered as a Nash equilibrium. This paper provides two forms for market clearing to occur: through a common closing price and through an application of the limit order book. The main results of this work are providing the existence of maximal and minimal clearing solutions (i.e., liquidations, borrowing, fire sale prices, and haircut levels) as well as sufficient conditions for uniqueness of the clearing solutions.
