Decentralized Clearing in Financial Networks
نویسندگان
چکیده
منابع مشابه
Does Central Clearing Reduce Counterparty Risk in Realistic Financial Networks?
Novating a single asset class to a central counterparty (CCP) in an over-the-counter derivatives trading network impacts both the mean and variance of total net exposures between counterparties. When a small number of dealers trade in a relatively large number of asset classes, central clearing increases the mean and variance of net exposures, which may lead to increased counterparty risk and h...
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Clearinghouses support financial trades by keeping records of transactions and by providing liquidity through short-term credit that is periodically cleared by participants. We study efficient clearing arrangements for formal exchanges, where traders must clear with a clearinghouse, and for over-the-counter (OTC) markets, where trades can be cleared bilaterally. When clearing is costly, we show...
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We consider the problem of clearing a system of interconnected banks that have been exposed to a shock on their assets. Eisenberg and Noe (2001) showed that when banks can only enter into simple debt contracts with each other, then a clearing vector of payments can be computed in polynomial time. In this paper, we show that the situation changes radically when banks can also enter into credit d...
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We consider the problem of clearing a system of interconnected banks. Prior work has shown that when banks can only enter into simple debt contracts with each other, then a clearing vector of payments can be computed in polynomial time. In this work, we show that the computational complexity of the clearing problem drastically increases when banks can also enter into credit default swaps (CDSs)...
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ژورنال
عنوان ژورنال: Management Science
سال: 2018
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.2017.2847