An application of Shapely value cost allocation to liquidity savings mechanisms / by Rodney J. Garratt.: FB3-5/2019-26E-PDF
"This paper describes a proposal for operating a centralized netting queue for non-urgent interbank payments that involves take-it-or-leave-it offers and allocates liquidity costs using the Shapely value. This method achieves fairness and ensures welfare maximizing netting proposals are agreeable to all providers of liquidity"--Abstract.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.877264&sl=0
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| Title | An application of Shapely value cost allocation to liquidity savings mechanisms / by Rodney J. Garratt. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Description | 1 online resource (ii, 13 pages). |
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