Benefit attribution in financial systems with bilateral netting

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We develop a cooperative game model and apply the Shapley value to the game to attribute overall benefits of bilateral netting to individual financial institutions. We propose three differ-ent characteristic functions, each of which represents a different type of systemic importance. A simulation study shows that the benefit attribution of a bank is strongly related to the bank's interbank reliance and vulnerability.
Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
Issue Date
2022-03
Language
English
Article Type
Article
Citation

FINANCE RESEARCH LETTERS, v.45

ISSN
1544-6123
DOI
10.1016/j.frl.2021.102179
URI
http://hdl.handle.net/10203/292754
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