Simulation studies of liquidity needs, risks and efficiency in payment networks
AbstractThis 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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Bibliographic InfoPaper provided by Bank of Finland in its series Scientific Monographs with number E:39/2007.
Length: 325 pages
Date of creation: 28 May 2007
Date of revision:
simulation; payment and settlement system; payment networks; liquidity; gridlock; systemic risk; counterparty risk;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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- 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.
- Antoine Martin & James McAndrews, 2008. "A study of competing designs for a liquidity-saving mechanism," Staff Reports 336, Federal Reserve Bank of New York.
- Seliger, Reinhardt & Sigmund, Michael & Puhr, Claus, 2012. "Contagiousness and Vulnerability in the Austrian Interbank Market," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 24.
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