An Axiomatization of the Proportional Rule in Financial Networks

• 成果类型: Article
• 署名作者: Csoka, Peter; Herings, P. Jean-Jacques
• 署名单位: Corvinus University Budapest; HUN-REN; HUN-REN Centre for Economic & Regional Studies; Maastricht University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3700
• 发表日期: 2021
• 页码: 2799-2812
• 关键词: Financial networks; Systemic risk; Bankruptcy rules; proportional rule

摘要

The most important rule to determine payments in real-life bankruptcy problems is the proportional rule. Many such bankruptcy problems are characterized by network aspects, and the values of the agents' assets are endogenous as they depend on the extent to which claims on other agents can be collected. These network aspects make an axiomatic analysis challenging. This paper is the first to provide an axiomatization of the proportional rule in financial networks. Our main axiom is invariance to mitosis. The other axioms are claims boundedness, limited liability, priority of creditors, continuity, and impartiality.