The purpose of this paper is to address a question concerning risk management in continuing, multi-party, contractual, clearing and settlement arrangements through which large-value payments are typically made. We are particularly interested in the issues of incentive compatibility when athird...

In this paper we investigate the question of how many coalitions of a given relative size would block a non-Warlasian allocation in large finite economies. It is shown that in finite economies, if a Pareto optimal allocation is bounded away from being Walrasian, then, for any two numbers α, β...

Nonemptiness of the interm Bayesian incentive-compatible core of a Bayesian pure exchange economy is established.

In this paper we present a model of a network or an arrangement of transactions that involve a risky transfer of assets. Transactions are generated endogenously. There is a risk in asset transfers and we are concerned with the question of optimal risk management in such a network. Assets in this...

The descriptive theory of cooperative game with incomplete information developed to date is surveyed. The theory has the potential to provide game-theoretical foundations of economic analysis of the free societies in which organizations (coalitions) as corporations institute a non-market...

A mathematical model of a directed graph with stochastic transfers is presented. It will be used to analyze the optimality (or "competitiveness") properties of a network of transactions involving risky transfers of assets in an economic system. These properties are discussed in a model with some...

The private information case of a Bayesian pure exchange economy is studied. The Bayesian incentive-compatible coarse core is proved to be nonempty. On the other hand, the Bayesian incentivecompatible interim core may be empty, even for Bayesian pure exchange economies satisfying the traditional...

Two policies toward payments-system risk are common, but superficially appear to be contradictory. One policy is to restrict the exposure to risk generated by one participant to other participants who are, by one measure or another, directly concerned with the risky participant. The other policy...

In this paper we report an existence result in a general monetary equilibrium model with buying and selling price spread but without transactions costs. Under the assumption that an initial endowment allocation is not Pareto optimal it is proved that an equilibrium with a positive value of money...

This paper is concerned with the Hahn problem in a general monetary equilibrium model at the terminal period. Under the assumption that an initial endowment allocation is not Pareto optimal it is proved that an equilibrium with a positive value of money exists if traders take buying and selling...