Efficiency of Stochastic Transfers in a Directed Graph
A mathematical model of a directed graph with stochastic transfers is presented. It will be used to analyze the optimality (or "competitiveness") properties of a network of transactions involving risky transfers of assets in an economic system. These properties are discussed in a model with some specific directed graph structures which result in a decomposition of the graph into parts with "narrow" linkage.
|Date of creation:||Feb 1999|
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- Hiroshi Fujiki & Edward J. Green & Akira Yamazaki, 1999. "Sharing the risk of settlement failure," Working Papers 594, Federal Reserve Bank of Minneapolis.
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