Proportional clearing mechanisms in financial systems : an axiomatic approach
Gespeichert in:
| Autor*in: |
Calleja, Pedro [verfasserIn] Llerena Garrés, Francesc [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2024 |
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| Schlagwörter: |
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| Übergeordnetes Werk: |
Enthalten in: Journal of mathematical economics - Amsterdam : North-Holland, 1974, 111(2024) vom: Apr., Artikel-ID 102955, Seite 1-14 |
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| Übergeordnetes Werk: |
volume:111 ; year:2024 ; month:04 ; elocationid:102955 ; pages:1-14 |
| Links: |
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| DOI / URN: |
10.1016/j.jmateco.2024.102955 |
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| Katalog-ID: |
1905144008 |
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| 982 | |2 26 |1 00 |x DE-206 |b We address the problem of clearing mutual obligations among agents when a financial network collapses. To do so, we adopt an axiomatic approach and provide the first comprehensive characterization of the rules based on the principle of proportionality, covering the entire domain of financial systems. While a previous attempt by Csóka and Herings (2021) tackled this issue in a context where agents have strictly positive initial endowments, we show that their properties do not fully capture the set of proportional rules when extended to the full financial systems’ domain. To overcome this limitation, we introduce new properties that emphasize the value of equity of the firms in the network. We show that a clearing mechanism satisfies compatibility, limited liability, absolute priority, equity continuity, and non-manipulability by clones if and only if each agent receives a payment proportional to the value of their claims. This characterization holds in the framework studied by Csóka and Herings (2021). | ||
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10.1016/j.jmateco.2024.102955 doi (DE-627)1905144008 (DE-599)KXP1905144008 DE-627 ger DE-627 rda eng Calleja, Pedro verfasserin (DE-588)1184294720 (DE-627)1663457069 aut Proportional clearing mechanisms in financial systems an axiomatic approach Pedro Calleja, Francesc Llerena 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Axiomatization (dpeaa)DE-206 Financial systems (dpeaa)DE-206 Proportional financial rules (dpeaa)DE-206 Llerena Garrés, Francesc verfasserin (DE-588)171840143 (DE-627)313348340 (DE-576)132601656 aut Enthalten in Journal of mathematical economics Amsterdam : North-Holland, 1974 111(2024) vom: Apr., Artikel-ID 102955, Seite 1-14 Online-Ressource (DE-627)302466002 (DE-600)1491091-3 (DE-576)079719279 0304-4068 nnns volume:111 year:2024 month:04 elocationid:102955 pages:1-14 https://www.sciencedirect.com/science/article/pii/S030440682400017X/pdfft?md5=5e5d3fd9592d7c7e6aeb916d3075dc11&pid=1-s2.0-S030440682400017X-main.pdf Verlag kostenfrei https://doi.org/10.1016/j.jmateco.2024.102955 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_150 GBV_ILN_151 GBV_ILN_161 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 111 2024 4 102955 1-14 26 01 0206 4589286556 x1z 08-10-24 26 00 DE-206 We address the problem of clearing mutual obligations among agents when a financial network collapses. To do so, we adopt an axiomatic approach and provide the first comprehensive characterization of the rules based on the principle of proportionality, covering the entire domain of financial systems. While a previous attempt by Csóka and Herings (2021) tackled this issue in a context where agents have strictly positive initial endowments, we show that their properties do not fully capture the set of proportional rules when extended to the full financial systems’ domain. To overcome this limitation, we introduce new properties that emphasize the value of equity of the firms in the network. We show that a clearing mechanism satisfies compatibility, limited liability, absolute priority, equity continuity, and non-manipulability by clones if and only if each agent receives a payment proportional to the value of their claims. This characterization holds in the framework studied by Csóka and Herings (2021). |
| spelling |
10.1016/j.jmateco.2024.102955 doi (DE-627)1905144008 (DE-599)KXP1905144008 DE-627 ger DE-627 rda eng Calleja, Pedro verfasserin (DE-588)1184294720 (DE-627)1663457069 aut Proportional clearing mechanisms in financial systems an axiomatic approach Pedro Calleja, Francesc Llerena 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Axiomatization (dpeaa)DE-206 Financial systems (dpeaa)DE-206 Proportional financial rules (dpeaa)DE-206 Llerena Garrés, Francesc verfasserin (DE-588)171840143 (DE-627)313348340 (DE-576)132601656 aut Enthalten in Journal of mathematical economics Amsterdam : North-Holland, 1974 111(2024) vom: Apr., Artikel-ID 102955, Seite 1-14 Online-Ressource (DE-627)302466002 (DE-600)1491091-3 (DE-576)079719279 0304-4068 nnns volume:111 year:2024 month:04 elocationid:102955 pages:1-14 https://www.sciencedirect.com/science/article/pii/S030440682400017X/pdfft?md5=5e5d3fd9592d7c7e6aeb916d3075dc11&pid=1-s2.0-S030440682400017X-main.pdf Verlag kostenfrei https://doi.org/10.1016/j.jmateco.2024.102955 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_150 GBV_ILN_151 GBV_ILN_161 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 111 2024 4 102955 1-14 26 01 0206 4589286556 x1z 08-10-24 26 00 DE-206 We address the problem of clearing mutual obligations among agents when a financial network collapses. To do so, we adopt an axiomatic approach and provide the first comprehensive characterization of the rules based on the principle of proportionality, covering the entire domain of financial systems. While a previous attempt by Csóka and Herings (2021) tackled this issue in a context where agents have strictly positive initial endowments, we show that their properties do not fully capture the set of proportional rules when extended to the full financial systems’ domain. To overcome this limitation, we introduce new properties that emphasize the value of equity of the firms in the network. We show that a clearing mechanism satisfies compatibility, limited liability, absolute priority, equity continuity, and non-manipulability by clones if and only if each agent receives a payment proportional to the value of their claims. This characterization holds in the framework studied by Csóka and Herings (2021). |
| allfields_unstemmed |
10.1016/j.jmateco.2024.102955 doi (DE-627)1905144008 (DE-599)KXP1905144008 DE-627 ger DE-627 rda eng Calleja, Pedro verfasserin (DE-588)1184294720 (DE-627)1663457069 aut Proportional clearing mechanisms in financial systems an axiomatic approach Pedro Calleja, Francesc Llerena 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Axiomatization (dpeaa)DE-206 Financial systems (dpeaa)DE-206 Proportional financial rules (dpeaa)DE-206 Llerena Garrés, Francesc verfasserin (DE-588)171840143 (DE-627)313348340 (DE-576)132601656 aut Enthalten in Journal of mathematical economics Amsterdam : North-Holland, 1974 111(2024) vom: Apr., Artikel-ID 102955, Seite 1-14 Online-Ressource (DE-627)302466002 (DE-600)1491091-3 (DE-576)079719279 0304-4068 nnns volume:111 year:2024 month:04 elocationid:102955 pages:1-14 https://www.sciencedirect.com/science/article/pii/S030440682400017X/pdfft?md5=5e5d3fd9592d7c7e6aeb916d3075dc11&pid=1-s2.0-S030440682400017X-main.pdf Verlag kostenfrei https://doi.org/10.1016/j.jmateco.2024.102955 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_150 GBV_ILN_151 GBV_ILN_161 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 111 2024 4 102955 1-14 26 01 0206 4589286556 x1z 08-10-24 26 00 DE-206 We address the problem of clearing mutual obligations among agents when a financial network collapses. To do so, we adopt an axiomatic approach and provide the first comprehensive characterization of the rules based on the principle of proportionality, covering the entire domain of financial systems. While a previous attempt by Csóka and Herings (2021) tackled this issue in a context where agents have strictly positive initial endowments, we show that their properties do not fully capture the set of proportional rules when extended to the full financial systems’ domain. To overcome this limitation, we introduce new properties that emphasize the value of equity of the firms in the network. We show that a clearing mechanism satisfies compatibility, limited liability, absolute priority, equity continuity, and non-manipulability by clones if and only if each agent receives a payment proportional to the value of their claims. This characterization holds in the framework studied by Csóka and Herings (2021). |
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10.1016/j.jmateco.2024.102955 doi (DE-627)1905144008 (DE-599)KXP1905144008 DE-627 ger DE-627 rda eng Calleja, Pedro verfasserin (DE-588)1184294720 (DE-627)1663457069 aut Proportional clearing mechanisms in financial systems an axiomatic approach Pedro Calleja, Francesc Llerena 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Axiomatization (dpeaa)DE-206 Financial systems (dpeaa)DE-206 Proportional financial rules (dpeaa)DE-206 Llerena Garrés, Francesc verfasserin (DE-588)171840143 (DE-627)313348340 (DE-576)132601656 aut Enthalten in Journal of mathematical economics Amsterdam : North-Holland, 1974 111(2024) vom: Apr., Artikel-ID 102955, Seite 1-14 Online-Ressource (DE-627)302466002 (DE-600)1491091-3 (DE-576)079719279 0304-4068 nnns volume:111 year:2024 month:04 elocationid:102955 pages:1-14 https://www.sciencedirect.com/science/article/pii/S030440682400017X/pdfft?md5=5e5d3fd9592d7c7e6aeb916d3075dc11&pid=1-s2.0-S030440682400017X-main.pdf Verlag kostenfrei https://doi.org/10.1016/j.jmateco.2024.102955 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_150 GBV_ILN_151 GBV_ILN_161 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 111 2024 4 102955 1-14 26 01 0206 4589286556 x1z 08-10-24 26 00 DE-206 We address the problem of clearing mutual obligations among agents when a financial network collapses. To do so, we adopt an axiomatic approach and provide the first comprehensive characterization of the rules based on the principle of proportionality, covering the entire domain of financial systems. While a previous attempt by Csóka and Herings (2021) tackled this issue in a context where agents have strictly positive initial endowments, we show that their properties do not fully capture the set of proportional rules when extended to the full financial systems’ domain. To overcome this limitation, we introduce new properties that emphasize the value of equity of the firms in the network. We show that a clearing mechanism satisfies compatibility, limited liability, absolute priority, equity continuity, and non-manipulability by clones if and only if each agent receives a payment proportional to the value of their claims. This characterization holds in the framework studied by Csóka and Herings (2021). |
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10.1016/j.jmateco.2024.102955 doi (DE-627)1905144008 (DE-599)KXP1905144008 DE-627 ger DE-627 rda eng Calleja, Pedro verfasserin (DE-588)1184294720 (DE-627)1663457069 aut Proportional clearing mechanisms in financial systems an axiomatic approach Pedro Calleja, Francesc Llerena 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Axiomatization (dpeaa)DE-206 Financial systems (dpeaa)DE-206 Proportional financial rules (dpeaa)DE-206 Llerena Garrés, Francesc verfasserin (DE-588)171840143 (DE-627)313348340 (DE-576)132601656 aut Enthalten in Journal of mathematical economics Amsterdam : North-Holland, 1974 111(2024) vom: Apr., Artikel-ID 102955, Seite 1-14 Online-Ressource (DE-627)302466002 (DE-600)1491091-3 (DE-576)079719279 0304-4068 nnns volume:111 year:2024 month:04 elocationid:102955 pages:1-14 https://www.sciencedirect.com/science/article/pii/S030440682400017X/pdfft?md5=5e5d3fd9592d7c7e6aeb916d3075dc11&pid=1-s2.0-S030440682400017X-main.pdf Verlag kostenfrei https://doi.org/10.1016/j.jmateco.2024.102955 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_150 GBV_ILN_151 GBV_ILN_161 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 AR 111 2024 4 102955 1-14 26 01 0206 4589286556 x1z 08-10-24 26 00 DE-206 We address the problem of clearing mutual obligations among agents when a financial network collapses. To do so, we adopt an axiomatic approach and provide the first comprehensive characterization of the rules based on the principle of proportionality, covering the entire domain of financial systems. While a previous attempt by Csóka and Herings (2021) tackled this issue in a context where agents have strictly positive initial endowments, we show that their properties do not fully capture the set of proportional rules when extended to the full financial systems’ domain. To overcome this limitation, we introduce new properties that emphasize the value of equity of the firms in the network. We show that a clearing mechanism satisfies compatibility, limited liability, absolute priority, equity continuity, and non-manipulability by clones if and only if each agent receives a payment proportional to the value of their claims. This characterization holds in the framework studied by Csóka and Herings (2021). |
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26 00 DE-206 We address the problem of clearing mutual obligations among agents when a financial network collapses. To do so, we adopt an axiomatic approach and provide the first comprehensive characterization of the rules based on the principle of proportionality, covering the entire domain of financial systems. While a previous attempt by Csóka and Herings (2021) tackled this issue in a context where agents have strictly positive initial endowments, we show that their properties do not fully capture the set of proportional rules when extended to the full financial systems’ domain. To overcome this limitation, we introduce new properties that emphasize the value of equity of the firms in the network. We show that a clearing mechanism satisfies compatibility, limited liability, absolute priority, equity continuity, and non-manipulability by clones if and only if each agent receives a payment proportional to the value of their claims. This characterization holds in the framework studied by Csóka and Herings (2021) Proportional clearing mechanisms in financial systems an axiomatic approach Pedro Calleja, Francesc Llerena Axiomatization (dpeaa)DE-206 Financial systems (dpeaa)DE-206 Proportional financial rules (dpeaa)DE-206 |
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ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">111</subfield><subfield code="j">2024</subfield><subfield code="c">4</subfield><subfield code="i">102955</subfield><subfield code="h">1-14</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">26</subfield><subfield code="1">01</subfield><subfield code="x">0206</subfield><subfield code="b">4589286556</subfield><subfield code="y">x1z</subfield><subfield code="z">08-10-24</subfield></datafield><datafield tag="982" ind1=" " ind2=" "><subfield code="2">26</subfield><subfield code="1">00</subfield><subfield code="x">DE-206</subfield><subfield code="b">We address the problem of clearing mutual obligations among agents when a financial network collapses. To do so, we adopt an axiomatic approach and provide the first comprehensive characterization of the rules based on the principle of proportionality, covering the entire domain of financial systems. While a previous attempt by Csóka and Herings (2021) tackled this issue in a context where agents have strictly positive initial endowments, we show that their properties do not fully capture the set of proportional rules when extended to the full financial systems’ domain. To overcome this limitation, we introduce new properties that emphasize the value of equity of the firms in the network. We show that a clearing mechanism satisfies compatibility, limited liability, absolute priority, equity continuity, and non-manipulability by clones if and only if each agent receives a payment proportional to the value of their claims. This characterization holds in the framework studied by Csóka and Herings (2021).</subfield></datafield></record></collection>
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| score |
7.4003916 |