To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

• 成果类型: Article
• 署名作者: Amini, Hamed; Filipovic, Damir; Minca, Andreea
• 署名单位: University of Miami; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Cornell University
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2015.1414
• 发表日期: 2016
• 页码: 1135-1142
• 关键词: contagion; RISK

摘要

We show that partial versus full multilateral netting of interbank liabilities increases bank shortfall and reduces clearing asset price and aggregate bank surplus. We also show that partial multilateral netting can be worse than no netting at all.