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Coherent measures of risk from a general equilibrium perspective

Csoka, Peter (contributor); … - 2006

Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law invariance and comonotonic additivity, then we get a...

Persistent link: https://www.econbiz.de/10003435485

Core concepts for incomplete market economies

Habis, Helga; Herings, Peter Jean-Jacques - 2011

We examine the notion of the core when cooperation takes place in a setting with time and uncertainty. We do so in a two-period general equilibrium setting with incomplete markets. Market incompleteness implies that players cannot make all possible binding commitments regarding their actions at...

Persistent link: https://www.econbiz.de/10009152575

Bargaining with non-convexities

Herings, Peter Jean-Jacques; Predtetchinski, Arkadi - In: Games and economic behavior 90 (2015), pp. 151-161

Persistent link: https://www.econbiz.de/10011383883

Costless delay in negotiations

Herings, Peter Jean-Jacques; Houba, Harold - 2015

orders, and finite sets of alternatives. Two examples show: 1. non-existence of stationary subgame-perfect equilibrium (SSPE … conditions for existence of stationary best responses additionally require either an equalizing condition or a minimality …). 2. the recursive equations and optimality conditions are necessary for SSPE but insufficient because these equations can …

Persistent link: https://www.econbiz.de/10010477115

Costless delay in negotiations

Herings, Peter Jean-Jacques; Houba, Harold - In: Economic theory 74 (2022) 1, pp. 69-93

Persistent link: https://www.econbiz.de/10013277453

Liability games

Csóka, Péter; Herings, Peter Jean-Jacques - 2017

A firm has liabilities towards a group of creditors. We analyze the question of how to distribute the asset value of the firm among the creditors and the firm itself. Compared to standard bankruptcy games as studied in the game theory literature, we introduce the firm as an explicit player and...

Persistent link: https://www.econbiz.de/10012290246

Uniqueness of clearing payment matrices in financial networks

Csóka, Péter; Herings, Peter Jean-Jacques - 2021

payment matrices is shown to be a lattice, whichguarantees the existence of a greatest and a least clearing payment …

Persistent link: https://www.econbiz.de/10013198996

Centralized clearing mechanisms in financial networks: A programming approach

Csóka, Péter; Herings, Peter Jean-Jacques - 2022

lattice structure, leading to the existence of a least and a greatest clearing payment matrix. Previous research has shown how …

Persistent link: https://www.econbiz.de/10013199012

An axiomatization of the pairwise netting proportional rule in financial networks

Csóka, Péter; Herings, Peter Jean-Jacques - 2023

We consider financial networks where agents are linked to each other via mutual liabilities. In case of bankruptcy, there are potentially many bankruptcy rules, ways to distribute the assets of a bankrupt agent over the other agents. One common approach is to first apply pairwise netting of...

Persistent link: https://www.econbiz.de/10014468511

An axiomatization of the proportional rule in financial networks

Csóka, Péter; Herings, Peter Jean-Jacques - 2016

The most important rule to determine payments in real-life bankruptcy problems is the proportional rule. Many bankruptcy problems are characterized by network aspects and default may occur as a result of contagion. Indeed, in financial networks with defaulting agents, the values of the agents'...

Persistent link: https://www.econbiz.de/10011584832