具有VWAP和LOB价格形成机制的火灾销售回购模型
A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms
摘要：
我们考虑一个网络的银行，最佳选择资产清算和借款的战略，以支付短期债务。借款是以抵押回购协议的形式进行的，其扣减水平取决于所有银行的总清算量。同样，每家银行获得的资产的甩卖价格取决于银行本身和其他银行清算的资产数量。根据这种设置的性质，银行的行为被认为是一个纳什均衡。本文提供了两种形式的市场出清发生：通过一个共同的收盘价和通过应用的限价订单簿。这项工作的主要结果是提供了最大和最小清除解决方案的存在性（即，清算、借贷、甩卖价格和扣减水平）以及清算解决方案唯一性的充分条件。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
