DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lim, Hanah | ko |
dc.date.accessioned | 2022-04-14T06:42:39Z | - |
dc.date.available | 2022-04-14T06:42:39Z | - |
dc.date.created | 2022-03-21 | - |
dc.date.created | 2022-03-21 | - |
dc.date.created | 2022-03-21 | - |
dc.date.issued | 2022-03 | - |
dc.identifier.citation | FINANCE RESEARCH LETTERS, v.45 | - |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.uri | http://hdl.handle.net/10203/292754 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | - |
dc.title | Benefit attribution in financial systems with bilateral netting | - |
dc.type | Article | - |
dc.identifier.wosid | 000761168200025 | - |
dc.identifier.scopusid | 2-s2.0-85107669104 | - |
dc.type.rims | ART | - |
dc.citation.volume | 45 | - |
dc.citation.publicationname | FINANCE RESEARCH LETTERS | - |
dc.identifier.doi | 10.1016/j.frl.2021.102179 | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Benefit attribution | - |
dc.subject.keywordAuthor | Bilateral netting | - |
dc.subject.keywordAuthor | Financial systemic loss | - |
dc.subject.keywordAuthor | Cooperative game theory | - |
dc.subject.keywordAuthor | Shapley value | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | ALLOCATION | - |
dc.subject.keywordPlus | MARKET | - |
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