We consider financial networks where agents are linked to each other with financial contracts. A centralized clearing … lattice structure, leading to the existence of a least and a greatest clearing payment matrix. Previous research has shown how … decentralized clearing selects the least clearing payment matrix. We present a centralized approach towards clearing in order to …

present a convenient representation of bankruptcy rules. A clearing payment matrix is a payment matrix consistent with the … prevailing bankruptcy rules that satisfies limited liability and priority of creditors. Both clearing payment matrices and the … decentralized clearing processes and show the convergence of any such process in finitely many steps to the least clearing payment …

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, which guarantees the existence of a greatest and a least clearing payment …. Multiplicity of clearing payment matrices is both a theoretical and a practical concern. We present a new condition for uniqueness …

to specify the way agents are going to be rationed. A clearing payment matrix is a payment matrix consistent with the … prevailing bankruptcy rules that satisfies limited liability and priority of creditors. Since clearing payment matrices and the … existing literature, which studies centralized clearing procedures, we introduce a large class of decentralized clearing …

letzten Jahren den Handel mit Kreditrisiko signifikant vereinfacht. Ein standardisiertes Kontrakt-Design, niedrige … Kreditderivat. Wir analysieren das Risiko von CDS, die im Handelsbuch gehalten werden. Wir vergleichen den Value at Risk (VaR) der … mit hohem Kreditrisiko deutlich geringer. Die Distanz sinkt auch bei längeren Haltedauern. Wir beobachten weiter eine …

in part to the cheapening of deliverable Treasury collateral to CDS contracts. …

cheapening of deliverable Treasury collateral to CDS contracts. We infer the likelihood of a U.S. default from these CDS premiums …