Interbank Lending in a Generalized Walras Equilibrium / von Dominik Joos

By: Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Publisher: Karlsruhe : KIT-Bibliothek, 2013Description: Online-RessourceSubject(s): Genre/Form: DDC classification:
  • 330
  • 510
DOI: DOI: 10.5445/IR/1000037165Online resources: Action note:
  • Archivierung/Langzeitarchivierung gewährleistet DISS
Dissertation note: Karlsruhe, Karlsruher Inst. für Technologie (KIT), Diss., 2013 Summary: We study a problem of maximizing expected utility of terminal wealth in a two-period market with various assets for a continuum of banks. Due to different liquidity levels, interbank markets arise. Interest rates are set by a Generalized Walras Equilibrium. We determine the banks' optimal behaviour in a general setting and derive conditions for the existence of an equilibirum. We show that the existence of interbank markets smoothes out different liquidity levels.PPN: PPN: 77563946XPackage identifier: Produktsigel: GBV-ODiss
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