To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
Hamed Amini, Damir Filipović, Andreea Minca
Operations Research · 2016 · Volume 64 · Issue 5
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
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