Аннотация:The authors study a model of clearing in an interbank network with crossholdings and default charges.
Following the Eisenberg–Noe approach, the authors define the model via a set of natural financial regulations including those related to eventual default charges and derive a finite family of fixpoint problems. These problems are parameterized by vectors of binary variables. The model combines features of the Ararat–Meimanjanov, Rogers–Veraart, and Suzuki–Elsinger networks. The authors develop methods of computing the maximal and minimal clearing pairs using the mixed integer-linear programming and a Gaussian elimination algorithm.