An Asymptotic Model of Fire Sales in Financial Systems


In this article, we propose a model for fire sales (price-mediated contagion). We derive analytic formulas for the final state (fraction of defaulted institutions and total price impact) of large financial systems after being... [ view full abstract ]


  1. Nils Detering (University of California, Santa Barbara)
  2. Thilo Meyer-Brandis (University of Munich)
  3. Konstantinos Panagiotou (University of Munich)
  4. Daniel Ritter (University of Munich)

Topic Areas

Risk Management , Stochastic Analysis , Systemic Risk


MO-A-EM » Systemic Risk (11:30 - Monday, 16th July, Emmet)

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