52. An Axiomatization of the Pairwise Netting Proportional Rule in Financial Networks
Invited abstract in session TC-2: Allocations, stream Game theory.
Thursday, 12:00 - 13:30Room: C 103
Authors (first author is the speaker)
| 1. | Péter Csóka
|
| Corvinus University of Budapest | |
| 2. | P. Jean-Jacques Herings
|
| Tilburg University |
Abstract
We consider financial networks where agents are linked to each other via mutual liabilities. The pairwise netting proportional rule performs one round of pairwise netting between agents that have mutual liabilities and next uses the proportional rule to determine payments. The pairwise netting proportional rule satisfies the basic requirements of claims boundedness, limited liability, priority of creditors, and continuity. It is the only rule to also satisfy the desirable properties of net impartiality, an agent that has two creditors with the same net claims pays the same amount to both creditors on top of pairwise netting, and invariance to mitosis.
Keywords
- SS - Optimal Control and Optimization in Economics, Finance
Status: accepted
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