Operations Research, Forthcoming
22 Pages Posted: 1 Nov 2014 Last revised: 18 Jan 2016
Date Written: June 25, 2015
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, Partial Multilateral Netting
JEL Classification: C44, C54, C62, G01, G18, G32
Suggested Citation: Suggested Citation
Amini, Hamed and Filipović, Damir and Minca, Andreea, To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting (June 25, 2015). Operations Research, Forthcoming; Swiss Finance Institute Research Paper No. 14-63. Available at SSRN: https://ssrn.com/abstract=2516974 or http://dx.doi.org/10.2139/ssrn.2516974