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In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims resolution procedure. This mechanism can be used to clear a network of obligations through blockchain. In particular, we investigate default contagion in a network of smart contracts cleared through blockchain. In so doing, we provide an algorithm which constructs the blockchain so as to guarantee the payments can be verified and the miners earn a fee. We, additionally, consider the special case in which the blocks have unbounded capacity to provide a simple equilibrium clearing condition for the terminal net worths; existence and uniqueness are proven for this system. Finally, we consider the optimal bidding strategies for each firm in the network so that all firms are utility maximizers with respect to their terminal wealths. We first look for a mixed Nash equilibrium bidding strategies, and then also consider Pareto optimal bidding strategies. The implications of these strategies, and more broadly blockchain, on systemic risk are considered.
We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference probability measu
Decentralized Finance (DeFi), a blockchain powered peer-to-peer financial system, is mushrooming. One year ago the total value locked in DeFi systems was approximately 700m USD, now, as of April 2021, it stands at around 51bn USD. The frenetic evolut
The concept of clearing or netting, as defined in the glossaries of European Central Bank, has a great impact on the economy of a country influencing the exchanges and the interactions between companies. On short, netting refers to an alternative to
Blockchain in supply chain management is expected to boom over the next five years. It is estimated that the global blockchain supply chain market would grow at a compound annual growth rate of 87% and increase from $45 million in 2018 to $3,314.6 mi
This paper investigates whether security markets price the effect of social distancing on firms operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19