Liquidity Risk and Contagion
研究受监管偿付能力约束且按市值计价的互联金融机构体系中的流动性风险，发现小冲击可通过资产抛售和价格下跌引发传染性倒闭，并通过模拟量化了这种风险。
This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark their assets to market. When the market's demand for illiquid assets is less than perfectly elastic, sales by distressed institutions depress the market prices of such assets. Marking to market of the asset book can induce a further round of endogenously generated sales of assets, depressing prices further and inducing further sales. Contagious failures can result from small shocks. We investigate the theoretical basis for contagious failures and quantify them through simulation exercises. Liquidity requirements on institutions can be as effective as capital requirements in forestalling contagious failures.