A note on uniqueness of clearing prices in financial systems
| Authors | |
|---|---|
| Publication date | 26-07-2019 |
| Number of pages | 16 |
| Publisher | SSRN |
| Organisations |
|
| Abstract | The Eisenberg and Noe (2001) model of the financial system is general- ized to the case where default is solved by means of a bankruptcy rule. For regular financial networks a unique vector of clearing prices exists if only the bankruptcy rule is strongly monotonic. This shows uniqueness of the clear- ing prices on regular financial networks for the class of equal sacrifice rules by Young (1988), and many variations of the proportional rule as in Csóka and Herings (2018). This paper disentangles the role of network topology from the way defaults are solved. |
| Document type | Working paper |
| Language | English |
| Published at | https://doi.org/10.2139/ssrn.3427039 |
| Downloads |
SSRN-id3427039
(Submitted manuscript)
|
| Permalink to this page | |
