Optimal Clearing Payments in a Financial Contagion Model
Giuseppe Calafiore, Giulia Fracastoro, and Anton V. Proskurnikov
金融网络的特点是相互义务的复杂结构。 这些债务通过称为清算的机制完全或部分履行(当违约发生时),该机制确定一组付款,通过尊重有限责任,绝对优先权和相称性(按比例支付)等规则来解决索赔。 然而,在金融系统出现冲击的情况下,清算机制可能导致一连串的违约,最终导致金融灾难。 在本文中,我们首先研究了Eisenberg和Noe按比例支付的清算模型,并为清算付款的独特性提供了新颖的必要和充分条件,适用于金融网络的任意拓扑结构。 然后,我们认为相称性规则是导致级联违约的因素之一,如果取消此规则,则可以减少整个系统的损失。 因此,拟议的方法将重点从个人兴趣转移到整个系统的兴趣,以控制和包含级联故障的不利影响,我们表明,通过解决适当的凸优化问题,可以计算此设置中的清算付款。
Financial networks are characterized by complex structures of mutual obligations. These obligations are fulfilled entirely or in part (when defaults occur) via a mechanism called clearing, which determines a set of payments that settle the claims by respecting rules such as limited liability, absolute priority, and proportionality (pro-rated payments). In the presence of shocks on the financial system, however, the clearing mechanism may lead to cascaded defaults and eventually to financial disa...