论文标题
在动态金融网络中清算付款
Clearing Payments in Dynamic Financial Networks
论文作者
论文摘要
本文提出了一个新颖的动力学模型，用于确定金融网络中的清算付款。我们将经典的Eisenberg-Noe财务传染模型扩展到了多个时间段，允许在可能的初始伪违约后继续进行金融运营，从而允许节点恢复并最终履行其责任。我们模型中的最佳清算付款是通过在完整的矩阵付款情况下以及在Pro-Rata受限的情况下求解合适的线性程序来计算的。我们证明，所提出的模型遵守\ emph {债务要求的优先级}要求，也就是说，每个步骤在每个步骤中要么全部支付其负债，要么支付所有余额。在主比例的情况下，最佳的动态清算付款是唯一的，可以通过时间耦合的顺序优化方法确定。
This paper proposes a novel dynamical model for determining clearing payments in financial networks. We extend the classical Eisenberg-Noe model of financial contagion to multiple time periods, allowing financial operations to continue after possible initial pseudo defaults, thus permitting nodes to recover and eventually fulfil their liabilities. Optimal clearing payments in our model are computed by solving a suitable linear program, both in the full matrix payments case and in the pro-rata constrained case. We prove that the proposed model obeys the \emph{priority of debt claims} requirement, that is, each node at every step either pays its liabilities in full, or it pays out all its balance. In the pro-rata case, the optimal dynamic clearing payments are unique, and can be determined via a time-decoupled sequential optimization approach.
