16 research outputs found
Az arányos csődszabály karakterizációja körbetartozások esetén
Az arányos csĹ‘dszabály elsĹ‘ használata egĂ©szen ArisztotelĂ©szig vezethetĹ‘ vissza. A tanulmányban olyan pĂ©nzĂĽgyi hálĂłzatokat vizsgálunk, ahol az ágenseknek van indulĂł pĂ©nzkĂ©szlete, Ă©s mindenki tartozhat mindenkinek. Egy adott pĂ©nzĂĽgyi hálĂłzatban a csĹ‘dszabály meghatároz egy fizetĂ©si mátrixot, amelynek elemei megmondják, hogy ki mennyit fizessen a többi szereplĹ‘nek. Egy szereplĹ‘ eszközei az indulĂł pĂ©nzkĂ©szletĂ©bĹ‘l Ă©s a többiektĹ‘l kapott fizetĂ©sekbĹ‘l állnak. A rendszerkockázati irodalomban gyakran használt arányos csĹ‘dszabály azt követeli meg, hogy az ágensek a tartozásaikkal arányosan fizessenek eszközeikbĹ‘l, maximum a tartozások erejĂ©ig. Ha Ă©rvĂ©nyes az arányos csĹ‘dszabály, akkor az eszközök Ă©rtĂ©ke endogĂ©n mĂłdon határozĂłdik meg, mivel a fizetĂ©sek egymástĂłl fĂĽgghetnek. CikkĂĽnkben rĂ©szletesen bemutatjuk az arányos csĹ‘dszabály egyik karakterizáciĂłját, olyan tulajdonságokat, amelyek közĂĽl mindegyiket csak ez a csĹ‘dszabály teljesĂti: a követelĂ©sek felsĹ‘korlát-jellegĂ©t, a korlátolt felelĹ‘ssĂ©get, a hitelezĹ‘k elsĹ‘bbsĂ©gĂ©t, a pártatlanságot, az azonos ágensek általi manipulálhatatlanságot Ă©s a folytonosságot
Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
We quantify the sensitivity of the Eisenberg-Noe clearing vector to
estimation errors in the bilateral liabilities of a financial system in a
stylized setting. The interbank liabilities matrix is a crucial input to the
computation of the clearing vector. However, in practice central bankers and
regulators must often estimate this matrix because complete information on
bilateral liabilities is rarely available. As a result, the clearing vector may
suffer from estimation errors in the liabilities matrix. We quantify the
clearing vector's sensitivity to such estimation errors and show that its
directional derivatives are, like the clearing vector itself, solutions of
fixed point equations. We describe estimation errors utilizing a basis for the
space of matrices representing permissible perturbations and derive analytical
solutions to the maximal deviations of the Eisenberg-Noe clearing vector. This
allows us to compute upper bounds for the worst case perturbations of the
clearing vector in our simple setting. Moreover, we quantify the probability of
observing clearing vector deviations of a certain magnitude, for uniformly or
normally distributed errors in the relative liability matrix.
Applying our methodology to a dataset of European banks, we find that
perturbations to the relative liabilities can result in economically sizeable
differences that could lead to an underestimation of the risk of contagion. Our
results are a first step towards allowing regulators to quantify errors in
their simulations.Comment: 37 page
Decentralized clearing in financial networks
We consider a situation in which agents have mutual claims on each other, summarized in a liability matrix. Agents' assets might be insufficient to satisfy their liabilities leading to defaults. In case of default, bankruptcy rules are used to specify the way agents are going to be rationed. A clearing payment matrix is a payment matrix consistent with the prevailing bankruptcy rules that satisfies limited liability and priority of creditors. Since clearing payment matrices and the corresponding values of equity are not uniquely determined, we provide bounds on the possible levels equity can take. Unlike the existing literature, which studies centralized clearing procedures, we introduce a large class of decentralized clearing processes. We show the convergence of any such process in finitely many iterations to the least clearing payment matrix. When the unit of account is sufficiently small, all decentralized clearing processes lead essentially to the same value of equity as a centralized clearing procedure. As a policy implication, it is not necessary to collect and process all the sensitive data of all the agents simultaneously and run a centralized clearing procedure