Arbeitspapier
Decentralized clearing in financial networks
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. We assume the primitives to be denoted in some unit of account. In case of default, bankruptcy rules are used to specify the way agents are going to be rationed. We present a convenient representation of bankruptcy rules. A clearing payment matrix is a payment matrix consistent with the prevailing bankruptcy rules that satisfies limited liability and priority of creditors. Both clearing payment matrices and the corresponding values of equity are not uniquely determined. We provide bounds on the possible levels equity can take. We analyze decentralized clearing processes and show the convergence of any such process in finitely many steps 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.
- ISBN
-
978-615-5594-29-8
- Sprache
-
Englisch
- Erschienen in
-
Series: IEHAS Discussion Papers ; No. MT-DP - 2016/3
- Klassifikation
-
Wirtschaft
Cooperative Games
General Financial Markets: General (includes Measurement and Data)
- Thema
-
Networks
Bankruptcy Problems
Systemic Risk
Decentralized Clearing
Indivisibilities
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Csóka, Péter
Herings, P.Jean-Jacques
- Ereignis
-
Veröffentlichung
- (wer)
-
Hungarian Academy of Sciences, Institute of Economics
- (wo)
-
Budapest
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Csóka, Péter
- Herings, P.Jean-Jacques
- Hungarian Academy of Sciences, Institute of Economics
Entstanden
- 2016