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

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.


Published in:
Operations Research, 64, 5, 1135-1142
Year:
2016
Publisher:
Catonsville, Informs
ISSN:
0030-364X
Keywords:
Laboratories:




 Record created 2017-01-24, last modified 2018-03-17


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