Articles producció científicaGestió d'Empreses

Proportional clearing mechanisms in financial systems: An axiomatic approach

  • Identification data

    Identifier:  imarina:9366481
    Handle: https://hdl.handle.net/20.500.11797/imarina9366481
    Authors:  Calleja, P; Llerena, 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).

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    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
    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
    Paper original source: Journal Of Mathematical Economics. 111 102955-
    Article's DOI: 10.1016/j.jmateco.2024.102955
    Journal publication year: 2024
    Entity: Universitat Rovira i Virgili
    Paper version: info:eu-repo/semantics/publishedVersion
    Record's date: 2024-08-03
    URV's Author/s: Llerena Garrés, Francisco
    Department: Gestió d'Empreses
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Publication Type: Journal Publications
    Author, as appears in the article.: Calleja, P; Llerena, F
    licence for use: https://creativecommons.org/licenses/by/3.0/es/
    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
    Author's mail: francisco.llerena@urv.cat, francisco.llerena@urv.cat

  • Keywords:

    Rules
    Risk
    Proportional financial rules
    Financial systems
    Contagion
    Bankruptcy problem
    Axiomatization
    Applied Mathematics
    Economics
    Economics and Econometrics
    Mathematics
    Applied
    Interdisciplinary Applications
    Social Sciences
    Mathematical Methods
    Matemática / probabilidade e estatística
    Interdisciplinar
    Economia
    Ciencias sociales

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