Incentive efficient risk sharing in a settlement mechanism

• 成果类型: Article
• 署名作者: Fujiki, Hiroshi; Green, Edward J.; Yamazaki, Akira
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Iryo Sosei University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2007.01.015
• 发表日期: 2008
• 页码: 178-195
• 关键词: risk; settlement

摘要

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 a third party possesses a private information concerning the riskiness of transfers being made. If a third party possesses private information that would be of value in determining how best to settle a payment, how does the exposure of that party to the settlement risk affect the quality of information that the party chooses to provide? In this paper, we address this question by analyzing a specific class of parametric environments of a schematic. formal, model of a settlement arrangement or a payment network. (C) 2007 Elsevier Inc. All rights reserved.