| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15117 |
| DP15117 A Continuous-Time Model of Financial Clearing | |
| Isaac Sonin; Konstantin Sonin | |
| 发表日期 | 2020-07-31 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We present a simple continuous-time model of clearing in financial networks. Financial firms are represented as ``tanks'' filled with fluid (money), flowing in and out. Once the ``pipes'' connecting the ``tanks'' are open, the system reaches the clearing payment vector in finite time. This approach provides a simple recursive solution to a classical static model of financial clearing in bankruptcy, and suggests a practical payment mechanism. With sufficient resources, a system of mutual obligations can be restructured into an equivalent system that has a cascade structure: there is a group of banks that paid off their debts, another group that owes money only to banks in the first group, and so on. We demonstrate how the machinery of Markov chains can be used to analyze evolution of a deterministic dynamical system. |
| 主题 | Financial Economics ; Public Economics |
| 关键词 | Financial networks Clearing vector Continuous time Markov chains |
| URL | https://cepr.org/publications/dp15117-1 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544076 |
| 推荐引用方式 GB/T 7714 | Isaac Sonin,Konstantin Sonin. DP15117 A Continuous-Time Model of Financial Clearing. 2020. |
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