To fully net or not to net: Adverse effects of partial multilateral netting

Hamed Amini, Damir Filipović, Andreea Minca

Research output: Contribution to journalArticle

8 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)1135-1142
Number of pages8
JournalOperations Research
Volume64
Issue number5
DOIs
StatePublished - Sep 1 2016

Keywords

  • Central counterparty
  • Financial network
  • Multilateral netting
  • Over the counter markets

ASJC Scopus subject areas

  • Computer Science Applications
  • Management Science and Operations Research

Fingerprint Dive into the research topics of 'To fully net or not to net: Adverse effects of partial multilateral netting'. Together they form a unique fingerprint.

  • Cite this