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Identifier to cite or link to this item: https://hdl.handle.net/10086/16938

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Title
Incentive Efficient Risk Sharing in Settlement Mechanism
Creator
Creator Name
Edward J. Green Edward J. Green
山崎, 昭 山崎, 昭
Affiliation
Affiliation Name
Federal Reserve Bank of Chicago
Creator Name
Yamazaki, Akira Yamazaki, Akira
Affiliation
Affiliation Name
Hitotsubashi University
Abstract (distribution restricted)
The purpose of this paper is to address a question concerning risk management in continuing, multi-party, contractual, clearing and settlement arrangements through which large-value payments are typically made. We are particularly interested in the issues of incentive compatibility when athird party possesses a private information concerning the riskiness of transfers being made. If a third party possesses private information that would be of value in determining how best to settle a payment, how does the exposure of that party to the settlement risk affect the quality of information that the party chooses to provide? In this paper, we address the question by analyzing a specific class of parametric environments of a schematic, formal, model of a settlement arrangement or a payment netwrok.
Publisher
Graduate School of Economics, Hitotsubashi University
Issued Date
2001-04
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion papers ; No. 2001-03
Number of Pages
24
Appears in Collections
Discussion papers / Graduate School of Economics, Hitotsubashi University
URL
https://hdl.handle.net/10086/16938