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Proportional clearing mechanisms in financial systems: An axiomatic approach

  • Identification data

    Identifier: imarina:9366481
    Authors:
    Calleja, PLlerena, F
    Abstract:
    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).
  • Others:

    Author, as appears in the article.: Calleja, P; Llerena, F
    Department: Gestió d'Empreses
    URV's Author/s: Llerena Garrés, Francisco
    Keywords: Rules Risk Proportional financial rules Financial systems Contagion Bankruptcy problem Axiomatization
    Abstract: 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).
    Thematic Areas: Social sciences, mathematical methods Mathematics, interdisciplinary applications Mathematics, applied Matemática / probabilidade e estatística Interdisciplinar Economics and econometrics Economics Economia Ciencias sociales Applied mathematics
    licence for use: https://creativecommons.org/licenses/by/3.0/es/
    Author's mail: francisco.llerena@urv.cat francisco.llerena@urv.cat
    Author identifier: 0000-0002-4898-8404 0000-0002-4898-8404
    Record's date: 2024-08-03
    Papper version: info:eu-repo/semantics/publishedVersion
    Link to the original source: 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
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Papper original source: Journal Of Mathematical Economics. 111 102955-
    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
    Article's DOI: 10.1016/j.jmateco.2024.102955
    Entity: Universitat Rovira i Virgili
    Journal publication year: 2024
    Publication Type: Journal Publications
  • Keywords:

    Applied Mathematics,Economics,Economics and Econometrics,Mathematics, Applied,Mathematics, Interdisciplinary Applications,Social Sciences, Mathematical Methods
    Rules
    Risk
    Proportional financial rules
    Financial systems
    Contagion
    Bankruptcy problem
    Axiomatization
    Social sciences, mathematical methods
    Mathematics, interdisciplinary applications
    Mathematics, applied
    Matemática / probabilidade e estatística
    Interdisciplinar
    Economics and econometrics
    Economics
    Economia
    Ciencias sociales
    Applied mathematics
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