FINANCIAL MECHANISMS TO ENSURE LIQUIDATION WORKS BY SUBSOIL USERS

Financial Markets, Creation and Liquidation of Firms and Aggregate Dynamics

This paper models the impact of interest rate shocks on the creation and destruction of rms. The mechanism by which these shocks are transmitted across rms behavior is based on limited commitment to contractual arrangements. A rm's temptation to default limits the provision of credit by the bank. Credit constraints arise endogenously as part of the optimal long-term relationship between banks a...

Subsoil Water

In March, last, Drs. Cunningham and Lewis put ia motion experiments to test the value of Professor Pettenkofer's theory of the propagation of cholera, in the neighbourhood of Calcutta, by daily measurements of the level of subsoil water: they a^s0 caused similar experiments to be undertaken in Oudh. The measurements are now ordered by the Government of India to be carried out in every military ...

Liquidation Risk

Turmoil in financial markets is often accompanied by a significant decrease in market liquidity. Here, we investigate how such key risk measures as likelihood of insolvency, value at risk, and expected tail loss respond to bid– ask spreads that are likely to widen just when positions must be liquidated to maintain capital ratios. Our results show that this sort of illiquidity causes significant...

The need for new mechanisms to ensure research integrity.

Adaptive basket liquidation

We consider the infinite time-horizon optimal basket portfolio liquidation problem for a von NeumannMorgenstern investor in a multi-asset extension of the liquidity model of Almgren (2003) with cross-asset impact. Using a stochastic control approach, we establish a “separation theorem”: the sequence of portfolios held during an optimal liquidation depends only on the (co-)variance and (cross-as...