动态金融网络中的清算支付
Clearing Payments in Dynamic Financial Networks
AI总结：
本文将Eisenberg-Noe金融传染模型扩展为多期动态模型，通过线性规划求解最优清算支付，并证明其满足债务请求权优先且在按比例情形下解唯一。
摘要：
本文提出了一种用于确定金融网络中清算支付的新型动态模型。我们将经典的Eisenberg-Noe金融传染模型扩展到多个时间段，允许金融操作在可能发生的初始伪违约之后继续进行，从而使节点能够恢复并最终履行其负债。在我们的模型中，最优清算支付通过求解一个合适的线性规划来计算，既适用于全矩阵支付情形，也适用于按比例约束情形。我们证明了所提出的模型满足“债务请求权优先”要求，即每个节点在每一步要么全额支付其负债，要么支付其全部余额。在按比例情形下，最优动态清算支付是唯一的，并且可以通过时间解耦的顺序优化方法来确定。
英文摘要：
This paper proposes a novel dynamical model for determining clearing payments in financial networks. We extend the classical Eisenberg-Noe model of financial contagion to multiple time periods, allowing financial operations to continue after possible initial pseudo defaults, thus permitting nodes to recover and eventually fulfil their liabilities. Optimal clearing payments in our model are computed by solving a suitable linear program, both in the full matrix payments case and in the pro-rata constrained case. We prove that the proposed model obeys the \emph{priority of debt claims} requirement, that is, each node at every step either pays its liabilities in full, or it pays out all its balance. In the pro-rata case, the optimal dynamic clearing payments are unique, and can be determined via a time-decoupled sequential optimization approach.
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