Articles producció científicaGestió d'Empreses

Proportional clearing mechanisms in financial systems: An axiomatic approach

  • Datos identificativos

    Identificador:  imarina:9366481
    Handle: https://hdl.handle.net/20.500.11797/imarina9366481
    Autores:  Calleja, P; Llerena, F
    Resumen:
    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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    Enlace a la fuente 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
    Referencia 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
    Referencia al articulo segun fuente origial: Journal Of Mathematical Economics. 111 102955-
    DOI del artículo: 10.1016/j.jmateco.2024.102955
    Año de publicación de la revista: 2024
    Entidad: Universitat Rovira i Virgili
    Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
    Fecha de alta del registro: 2024-08-03
    Autor/es de la URV: Llerena Garrés, Francisco
    Departamento: Gestió d'Empreses
    URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
    Tipo de publicación: Journal Publications
    Autor según el artículo: Calleja, P; Llerena, F
    Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
    Áreas temáticas: Social sciences, mathematical methods, Mathematics, interdisciplinary applications, Mathematics, applied, Matemática / probabilidade e estatística, Interdisciplinar, Economics and econometrics, Economics, Economia, Ciencias sociales, Applied mathematics
    Direcció de correo del autor: francisco.llerena@urv.cat, francisco.llerena@urv.cat

  • Palabras clave:

    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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