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URN: urn:nbn:de:swb:90-371652

Interbank Lending in a Generalized Walras Equilibrium

Joos, Dominik

Abstract:
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.


Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Hochschulschrift
Jahr 2013
Sprache Englisch
Identifikator KITopen ID: 1000037165
Verlag Karlsruhe
Abschlussart Dissertation
Fakultät Fakultät für Mathematik (MATH)
Institut Institut für Stochastik (STOCH)
Prüfungsdaten 06.11.2013
Referent/Betreuer Prof. N. Bäuerle
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