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  4. To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
 
research article

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

Amini, Hamed
•
Filipovic, Damir  
•
Minca, Andreea
2016
Operations Research

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.

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Type
research article
DOI
10.1287/opre.2015.1414
Web of Science ID

WOS:000388844400007

Author(s)
Amini, Hamed
Filipovic, Damir  
Minca, Andreea
Date Issued

2016

Publisher

Informs

Published in
Operations Research
Volume

64

Issue

5

Start page

1135

End page

1142

Subjects

over the counter markets

•

financial network

•

multilateral netting

•

central counterparty

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
CSF  
Available on Infoscience
January 24, 2017
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/133812
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