Liquidity and market risk are key considerations in financial markets, especially in times of financial crises. For this reason, regulatory attention to and measures in these fields have been on the rise for the past years. Based on practical experience, regulations aiming at ensuring funding...

Liquidity is a key consideration in financial markets, especially in times of financial crises. For this reason, regulatory attention to and measures in this field have been on the rise for the past years. Based on practical experience, regulations aiming at ensuring funding liquidity or, in...

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'...

This paper analyzes how to choose a delegation, a committee to represent a society such as in a peace conference. We propose normative conditions and seek optimal, consistent, neutral, and non-manipulable ways to choose a delegation. We show that a class of threshold rules are characterized by...

The most fundamental form of systemic risk in modern financial networks is contagion. In this article we describe a homogeneous banking system (banks with identical preferences and the same size of total assets) with interconnectedness: banks own shares in each others' assets. Using these...

Let us consider a financially constrained leveraged financial firm having some divisions which have invested into some risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the capital requirement of the firm itself, there is some...

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...

We investigate how the spectral risk measure associated with holding stocks rather than a risk-free deposit, depends on the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock price follows specific processes, spectral risk becomes...

In a liability problem, the asset value of an insolvent firm must be distributed among the creditors and the firm itself, when the firm has some freedom in negotiating with the creditors. We model the negotiations using cooperative game theory and analyze the Shapley value to resolve such...

We study bankruptcy problems in financial networks in the presence of general bankruptcy laws. The set of clearing payment matrices is shown to be a lattice, whichguarantees the existence of a greatest and a least clearing payment. Multiplicity ofclearing payment matrices is both a theoretical...