To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
2016
Abstract
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.
Details
Title
To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
Author(s)
Amini, Hamed ; Filipovic, Damir ; Minca, Andreea
Published in
Operations Research
Pagination
8
Volume
64
Issue
5
Pages
1135-1142
Date
2016
Publisher
Catonsville, Informs
ISSN
0030-364X
Other identifier(s)
View record in Web of Science
Laboratories
CSF
Record Appears in
Scientific production and competences > CDM - College of Management of Technology > SFI - Swiss Finance Institute at EPFL > CSF - The Swissquote Chair in Quantitative Finance
Peer-reviewed publications
Work produced at EPFL
Journal Articles
Published
Peer-reviewed publications
Work produced at EPFL
Journal Articles
Published
Record creation date
2017-01-24