  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.
