Decentralized Clearing in Financial Networks
| Autor: | Péter Csóka, P. Jean-Jacques Herings |
|---|---|
| Přispěvatelé: | Microeconomics & Public Economics, RS: GSBE ETBC, RS: GSBE Theme Conflict & Cooperation, RS: GSBE Theme Data-Driven Decision-Making |
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
blockchain
Strategy and Management media_common.quotation_subject TAXATION PROBLEMS Management Science and Operations Research Unit of account Microeconomics SYSTEMIC RISK 0502 economics and business Economics Clearing BANKRUPTCY 050207 economics media_common 050208 finance Actuarial science GAME-THEORETIC ANALYSIS Limited liability 05 social sciences Liability Equity (finance) bankruptcy problems ALLOCATION METHODS LIQUIDITY Payment CONTAGION CLAIMS PROBLEMS Bankruptcy INDIVISIBILITIES networks APPORTIONMENT Default Finance decentralized clearing |
| Zdroj: | Management Science, 64(10), 4681-4699. INFORMS |
| ISSN: | 0025-1909 |
| DOI: | 10.1287/mnsc.2017.2847 |
| Popis: | We consider a situation in which agents have mutual claims on each other, summarized in a liability matrix. Agents’ assets might be insufficient to satisfy their liabilities, leading to defaults. In case of default, bankruptcy rules are used to specify the way agents are going to be rationed. A clearing payment matrix is a payment matrix consistent with the prevailing bankruptcy rules that satisfies limited liability and priority of creditors. Since clearing payment matrices and the corresponding values of equity are not uniquely determined, we provide bounds on the possible levels equity can take. Unlike the existing literature, which studies centralized clearing procedures, we introduce a large class of decentralized clearing processes. We show the convergence of any such process in finitely many iterations to the least clearing payment matrix. When the unit of account is sufficiently small, all decentralized clearing processes lead essentially to the same value of equity as a centralized clearing procedure. As a policy implication, it is not necessary to collect and process all the sensitive data of all the agents simultaneously and run a centralized clearing procedure. This paper was accepted by Yinyu Ye, optimization. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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