Autor segons l'article: Calleja, P; Llerena, F
Departament: Gestió d'Empreses
Autor/s de la URV: Llerena Garrés, Francisco
Paraules clau: Rules Risk Proportional financial rules Financial systems Contagion Bankruptcy problem Axiomatization
Resum: 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 Csoka 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 Csoka and Herings (2021).
Àrees temàtiques: Social sciences, mathematical methods Mathematics, interdisciplinary applications Mathematics, applied Matemática / probabilidade e estatística Interdisciplinar Economics and econometrics Economics Economia Ciencias sociales Applied mathematics
Accès a la llicència d'ús: https://creativecommons.org/licenses/by/3.0/es/
Adreça de correu electrònic de l'autor: francisco.llerena@urv.cat francisco.llerena@urv.cat
Identificador de l'autor: 0000-0002-4898-8404 0000-0002-4898-8404
Data d'alta del registre: 2024-08-03
Versió de l'article dipositat: info:eu-repo/semantics/publishedVersion
Enllaç font original: https://pdf.sciencedirectassets.com/271684/1-s2.0-S0304406824X00026/1-s2.0-S030440682400017X/main.pdf?X-Amz-Security-Token=IQoJb3JpZ2luX2VjELL%2F%2F%2F%2F%2F%2F%2F%2F%2F%2FwEaCXVzLWVhc3QtMSJIMEYCIQCvxL62%2F3yY70QNZL6Q1t9%2BdoqGIN1A9V7uDe7b5ejFtAIhAMbTYWfpbqipJyFcN6LXl7nfRhTsoGDyehJicJr1sDnQKrIFCCsQBRoMMDU5MDAzNTQ2ODY1Igw2p94YGnOkJHw2IesqjwUpWm5cyXSfuKUJDBCISXE%2BuIJ%2BiLREBUTougPcOlmS9vq7WTQooAh8nWEgybJFPjqDPRmQG4qaZyI1FyiB41SaHlJIIiZui%2BWHZJS6oFOAjfADjbAZe1KvcoNwxNUHNHpMXGeCLCwtraZ4TfvsmQNVusWWq0nifvRC5fCNZ6oeErHus%2BUjYS%2B%2BQPd2kB45Q9dTzEqZ2yEEuZaOvcyvkGIp96UrqYxEN3az1E5bS46uZai2UMba75vzEWplh7e07rTQjTIZ5PLfj4ec%2F6VJSq3PFT%2BOQYRBshrLB8uVSfGrTTn4MPcYb%2FNeGC9EtKhwbWuqEMYYbupH696LjEpBVXwPvpYmZ0F4ChLe5fvfSsDBIhLrvQ3bRzGlzwqgHHxCXTlkYVScZCR%2FMWuzhA7n2nXMq247xicYqZmZDKTgUe7jvZD1Wcb64evXLNZWnBRIYv3wUReU8WzCSuaNF43mIDkQq16nvCpMvy2guegtXxhVg5ffWJCarHVgtQMSGoWNQxMNE4auf7oUjjpSTR%2F05VYb1cXQ%2BxutLHuhREa1OST%2FVT8g1kzPOI%2FSGrvd3%2BVaNoH%2BmkFsPgbT4eHUCoSLOknwt1W8861S3SyFr3ytt0vJBzpAyIMdazv7M5tHbl8dikGhw7UfSVYarUrsgOUVu%2BJmyOfi14FwXfSH44P54c1Wl6mEo5XXRYOw0uIhRp0uddKtiuaK4gceTzNVfJeMJpL7CZiJChvkDQ4J8hJNND5cu9ByVFHfbtXZtip%2B%2BO2DHthvxhxmHvne7aMv13v6SPqS1ngd7M5NUQEb1vjWH0Tj%2B7aY7rtXhLCQw1CIdSB9Cw%2B7kOxnKpVafs3d6SZFRiFqRS%2Faj1p0IiqiUg8MQQASMNW9rLIGOrABXVMTnjPJJr9VoqgsvqRhsTL3rbJV7fDdsFeVQp0J3zyoaOsF8ikbjLnScxo9oPoCBZin2Xd9bIZ1xkUjZn6qCjRiebezGcCbBzIbrhO2V%2BcR%2BIns%2F%2F5J3QB8ybl41n3w%2F1fiR1P8qMixVaKpCEcKBy1FTgBVh7LK3ExBZjzn62%2Fk7Y3teBUqlcyL3%2BgWF9ZHABdl1%2F3C9BeG8YkffCHieL4HDIBz4CmVbOHxPjSCodU%3D&X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Date=20240520T104634Z&X-Amz-SignedHeaders=host&X-Amz-Expires=300&X-Amz-Credential=ASIAQ3PHCVTYST23OL7U%2F20240520%2Fus-east-1%2Fs3%2Faws4_request&X-Amz-Signature=f3bd643ec0d995e274356f31f2935742ae62b1e9484412cf1a2bb7629a591ff2&hash=0945906464e3d9d2074f5738093e7487fb79e3a15e32632b45ef452ff352360e&host=68042c943591013ac2b2430a89b270f6af2c76d8dfd086a07176afe7c76c2c61&pii=S030440682400017X&tid=spdf-75fe1374-24da-4570-ae5d-446a0ea67b7d&sid=8a1c1dca5e15654cd958d220d62bf3609298gxrqb&type=client&tsoh=d3d3LnNjaWVuY2VkaXJlY3QuY29t&ua=0113585e5302010751&rr=886bbe61dd051a7f&cc=es
URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
Referència a l'article segons font original: Journal Of Mathematical Economics. 111 102955-
Referència de l'ítem segons les normes APA: Calleja, P; Llerena, F (2024). Proportional clearing mechanisms in financial systems: An axiomatic approach. Journal Of Mathematical Economics, 111(), 102955-. DOI: 10.1016/j.jmateco.2024.102955
DOI de l'article: 10.1016/j.jmateco.2024.102955
Entitat: Universitat Rovira i Virgili
Any de publicació de la revista: 2024
Tipus de publicació: Journal Publications
Repositori URV