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Simulation studies of liquidity needs, risks and efficiency in payment networks

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    Abstract

    This publication consists of nine separate studies on payment and settlement systems conducted using simulation techniques. Most have been carried out using the payment and settlement system simulator BoF-PSS2 provided by the Bank of Finland. The preliminary versions were presented at the annual simulator seminars arranged by the Bank in 2005 and 2006. The main focus of the analyses is on liquidity requirements, settlement speed, gridlock situations, gridlock resolution methods, liquidity economising, systemic risk and the impact of shocks on system performance as well as network analysis and modelling of payment systems. The studies look at systems in several countries and cover both RTGS and netting systems as well as securities settlement systems.

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    File URL: http://www.suomenpankki.fi/en/julkaisut/tutkimukset/erillisjulkaisut/Documents/E39.pdf
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    Bibliographic Info

    Paper provided by Bank of Finland in its series Scientific Monographs with number E:39/2007.

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    Length: 325 pages
    Date of creation: 28 May 2007
    Date of revision:
    Handle: RePEc:hhs:bofism:2007_039

    Contact details of provider:
    Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
    Web page: http://www.suomenpankki.fi/en/
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    Related research

    Keywords: simulation; payment and settlement system; payment networks; liquidity; gridlock; systemic risk; counterparty risk;

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    Cited by:
    1. Claus Puhr & Reinhardt Seliger & Michael Sigmund, 2012. "Contagiousness and Vulnerability in the Austrian Interbank Market," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 24, pages 62-78.
    2. Galbiati, Marco & Soramäki, Kimmo, 2011. "An agent-based model of payment systems," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 859-875, June.
    3. Martin, Antoine & McAndrews, James, 2010. "A study of competing designs for a liquidity-saving mechanism," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1818-1826, August.
    4. Iori, G. & Deissenberg, C., 2008. "An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture," Working Papers 08/03, Department of Economics, City University London.

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