Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.advisorCalleja, Pere-
dc.contributor.authorMartínez Alcaraz, Ana-
dc.descriptionTreballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2018-2019, Tutor: Pedro Calleja Cortésca
dc.description.abstractEisenberg and Noe (2001) define a financial network where the players have claims against each other. In this system it is possible that one or several players do not have enough money to pay all their debts and default, being their total payment smaller than the total amount of their claims. Under the properties of Limited liability and Absolute priority and the bankruptcy rule of Proportionality, they prove that there exists a unique payment matrix if the system is regular. The aim of this paper to study whether these three properties are compatible or not with non-manipulability properties. In particular, we show that although agents may have incentives to split, they do not have incentives to
dc.format.extent38 p.-
dc.rightscc-by-nc-nd (c) Martínez Alcaraz, 2019-
dc.sourceMàster Oficial - Ciències Actuarials i Financeres (CAF)-
dc.subject.classificationRisc (Economia)cat
dc.subject.classificationInstitucions financerescat
dc.subject.classificationTreballs de fi de màstercat
dc.subject.otherFinancial institutionseng
dc.subject.otherMaster's theseseng
dc.titleSystemic risk in financial systems: an axiomatic approachca
Appears in Collections:Màster Oficial - Ciències Actuarials i Financeres (CAF)

Files in This Item:
File Description SizeFormat 
TFM-CAF_Martinez.pdf567.94 kBAdobe PDFView/Open

This item is licensed under a Creative Commons License Creative Commons