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An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms
Journal of Money, Credit and Banking ( IF 1.2 ) Pub Date : 2021-07-28 , DOI: 10.1111/jmcb.12853 RODNEY J. GARRATT 1
Journal of Money, Credit and Banking ( IF 1.2 ) Pub Date : 2021-07-28 , DOI: 10.1111/jmcb.12853 RODNEY J. GARRATT 1
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This paper describes a proposal for operating a centralized netting queue for nonurgent interbank payments that involves take-it-or-leave-it offers and allocates liquidity costs using the Shapley value. This method achieves fairness and ensures welfare-maximizing netting proposals are agreeable to all providers of liquidity.
中文翻译:
Shapley 价值成本分配在流动性储蓄机制中的应用
本文描述了为非紧急银行同业支付操作集中净额结算队列的提议,该提议涉及接受或离开的提议,并使用 Shapley 值分配流动性成本。这种方法实现了公平,并确保福利最大化的净额结算提议得到所有流动性提供者的同意。
更新日期:2021-07-28
中文翻译:
Shapley 价值成本分配在流动性储蓄机制中的应用
本文描述了为非紧急银行同业支付操作集中净额结算队列的提议,该提议涉及接受或离开的提议,并使用 Shapley 值分配流动性成本。这种方法实现了公平,并确保福利最大化的净额结算提议得到所有流动性提供者的同意。