О ЕДИНСТВЕННОСТИ КЛИРИНГОВЫХ ВЕКТОРОВ, РЕДУЦИРУЮЩИХ СИСТЕМНЫЙ РИСК

ON UNIQUENESS OF CLEARING VECTORS REDUCING THE SYSTEMIC RISK

Clearing of financial system, i. e., of a network of interconnecting banks, is a procedure of simultaneous repaying debts to reduce their total volume. The vector whose components are repayments of each bank is called clearing vector. In simple models considered by Eisenberg and Noe (2001) and, independently, by Suzuki (2002), it was shown that the clearing to the minimal value of debts accordingly to natural rules can be formulated as fixpoint problems. The existence of their solutions, i. e., of clearing vectors, is rather straightforward and can be obtained by a direct reference to the Knaster-Tarski or Brouwer theorems. The uniqueness of clearing vectors is a more delicate problem which was solved by Eisenberg and Noe using a graph structure of the financial network. The uniqueness results have been proved in two generalizations of the Eisenberg-Noe model: in the Elsinger model with seniority of liabilities and in the Amini-Filipovic-Minca type model with several types of illiquid assets whose firing sale has a market impact.