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

Hamed Amini (), Damir Filipović () and Andreea Minca ()
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Hamed Amini: Department of Mathematics, University of Miami, Coral Gables, Florida 33146
Damir Filipović: Ecole Polytechnique Fédérale de Lausanne; and Swiss Finance Institute, 1015 Lausanne, Switzerland
Andreea Minca: School of Operations Research and Information Engineering, Cornell University, Ithaca, New York 14850

Operations Research, 2016, vol. 64, issue 5, 1135-1142

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.

Keywords: over the counter markets; financial network; multilateral netting; central counterparty (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:64:y:2016:i:5:p:1135-1142

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