This paper provides a framework for modeling the financial system with multiple illiquid assets during a crisis. This extends the network model of Cifuentes, Shin Ferrucci (2005) that incorporates a single asset with fire sales. We prove sufficient conditions for the existence and uniqueness of equilibrium clearing payments and liquidation prices. We prove sufficient conditions for the existence of an equilibrium liquidation strategy with corresponding  clearing payments and liquidation prices. The number of defaults and wealth of the real economy under different investment and liquidation strategies are analyzed in several comparative case studies. Notably we investigate the effects that diversification has on the health of the financial system during a crisis .
This paper provides a framework for modeling the financial system with multiple illiquid assets during a crisis. This work generalizes the paper by Amini, Filipovic and Minca (2016) by allowing for differing liquidation strategies. The main result is a proof of sufficient conditions for the existence of an equilibrium liquidation strategy with corresponding unique clearing payments and liquidation prices. An algorithm for computing the maximal clearing payments and prices is provided .
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extends the network model of Cifuentes, Shin
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Ferrucci (2005) that incorporates a single asset with fire sales. We prove sufficient conditions for the existence and uniqueness of equilibrium clearing payments and liquidation prices. We prove
work generalizes the paper by Amini, Filipovic and Minca (2016) by allowing for differing liquidation strategies. The main result is a proof of
A
unique
R
The number of defaults and wealth of the real economy under different investment and liquidation strategies are analyzed in several comparative case studies. Notably we investigate the effects that diversification has on the health of the financial system during a crisis
An algorithm for computing the maximal clearing payments and prices is provided