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Simulating interbank payment and securities settlement mechanisms with the BoF-PSS2 simulator

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Author Info

  • Leinonen, Harry

    ()
    (Bank of Finland)

  • Soramäki, Kimmo

    ()
    (European Central Bank)

Abstract

The simulation technique provides a new means for analysing complex interdependencies in payment and securities settlement processing. The Bank of Finland has developed a payment and settlement system simulator (BoF-PSS2) that can be used for constructing simulation models of payment and securities settlement systems. This paper describes the main elements of payment and settlement systems (system structures, interdependencies, processing steps, liquidity consumption, cost and risk dimensions) and how these can be treated in simulation studies. It gives also examples on how these elements have been incorporated in the simulator, as well as an overview of the structure and the features of the BoF-PSS2 simulator.

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File URL: http://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/0323.pdf
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Bibliographic Info

Paper provided by Bank of Finland in its series Research Discussion Papers with number 23/2003.

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Length: 60 pages
Date of creation: 10 Jan 2003
Date of revision:
Handle: RePEc:hhs:bofrdp:2003_023

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: simulations; simulator; payment systems; clearing/settlement; liquidity;

References

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  1. Charles M. Kahn & William Roberds, 1996. "Payment system settlement and bank incentives," Working Paper 96-10, Federal Reserve Bank of Atlanta.
  2. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
  3. Leinonen, Harry & Soramäki, Kimmo, 1999. "Optimizing Liquidity Usage and Settlement Speed in Payment Systems," Research Discussion Papers 16/1999, Bank of Finland.
  4. Craig Furfine & Jeff Stehm, 1997. "Analyzing alternative intraday credit policies in real-time gross settlement systems," Finance and Economics Discussion Series 1997-40, Board of Governors of the Federal Reserve System (U.S.).
  5. Bech, Morten L. & Garratt, Rod, 2001. "The Intraday Liquidity Management Game," University of California at Santa Barbara, Economics Working Paper Series qt0m6035wg, Department of Economics, UC Santa Barbara.
  6. Angelini, P. & Maresca, G. & Russo, D., 1996. "Systemic risk in the netting system," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 853-868, June.
  7. Angelini, Paolo, 1998. "An analysis of competitive externalities in gross settlement systems," Journal of Banking & Finance, Elsevier, vol. 22(1), pages 1-18, January.
  8. Kahn, Charles M. & Roberds, William, 2001. "Real-time gross settlement and the costs of immediacy," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 299-319, April.
  9. repec:fth:bfsefi:e14 is not listed on IDEAS
  10. repec:fth:bfdipa:16/99 is not listed on IDEAS
  11. Kuussaari, Harri, 1996. "Systemic Risk in the Finnish Payment System: an Empirical Investigation," Research Discussion Papers 3/1996, Bank of Finland.
  12. Leinonen, Harry, 2003. "Restructuring securities systems processing – a blue print proposal for real-time/t+0 processing," Research Discussion Papers 7/2003, Bank of Finland.
  13. James J. McAndews & George Wasilyew, 1995. "Simulations of failure in a payment system," Working Papers 95-19, Federal Reserve Bank of Philadelphia.
  14. Leinonen, Harry, 1998. "Interbank funds transfer systems: liquidity needs, counterparty risks and collateral," Research Discussion Papers 16/1998, Bank of Finland.
  15. Humphrey, David B, 1996. "Comment on Intraday Bank Reserve Management: The Effects of Caps and Fees on Daylight Overdrafts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 909-13, November.
  16. Xavier Freixas & Bruno Parigi, 1998. "Contagion and efficiency in gross and net interbank payment systems," Proceedings 592, Federal Reserve Bank of Chicago.
  17. Bech , Morten L. & Soramäki, Kimmo, 2001. "Gridlock Resolution in Interbank Payment Systems," Research Discussion Papers 9/2001, Bank of Finland.
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Cited by:
  1. Cronin, David, 2011. "Large-Value Payment System Design and Risk Management," Quarterly Bulletin Articles, Central Bank of Ireland, pages 78-88, January.
  2. Galos, Peter & Soramäki, Kimmo, 2005. "Systemic risk in alternative payment system designs," Working Paper Series 0508, European Central Bank.

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