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Incentive Efficient Risk Sharing in Settlement Mechanism

  • Edward J. Green
  • Yamazaki, Akira

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.

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File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/16938/1/070econDP01-03.pdf
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Paper provided by Graduate School of Economics, Hitotsubashi University in its series Discussion Papers with number 2001-03.

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Length: 1, 24 p.
Date of creation: Apr 2001
Date of revision:
Handle: RePEc:hit:econdp:2001-03
Contact details of provider: Phone: +81-42-580-8000
Web page: http://www.econ.hit-u.ac.jp/

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  1. 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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