An Axiomatization of the Proportional Rule in Financial Networks

被引：12

作者：

Csoka, Peter ^{[1
,2
]}

Herings, P. Jean-Jacques ^{[3
]}

机构：

[1] Corvinus Univ Budapest, Dept Finance, H-1093 Budapest, Hungary

[2] Hungarian Acad Sci Ctr Excellence, Ctr Econ & Reg Studies, Momentum Game Theory Res Grp, H-1097 Budapest, Hungary

[3] Maastricht Univ, Dept Econ, NL-6200 MD Maastricht, Netherlands

来源：

MANAGEMENT SCIENCE | 2021年 / 67卷 / 05期

基金：

芬兰科学院;

关键词：

financial networks; systemic risk; bankruptcy rules; proportional rule; SYSTEMIC RISK; CONTAGION; BANKRUPTCY; LIQUIDITY; DIVISION;

D O I：

10.1287/mnsc.2020.3700

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

The most important rule to determine payments in real-life bankruptcy problems is the proportional rule. Many such bankruptcy problems are characterized by network aspects, and the values of the agents' assets are endogenous as they depend on the extent to which claims on other agents can be collected. These network aspects make an axiomatic analysis challenging. This paper is the first to provide an axiomatization of the proportional rule in financial networks. Our main axiom is invariance to mitosis. The other axioms are claims boundedness, limited liability, priority of creditors, continuity, and impartiality.

引用

页码：2799 / 2812

页数：14

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