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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)

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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.bof.fi/NR/rdonlyres/1910A3B1-157E-454B-80E3-DBD7199D6A92/0/0323.pdf
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Publisher Info
Paper provided by Bank of Finland in its series Research Discussion Papers with number 23/2003.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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.bof.fi/en/tutkimus
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Related research
Keywords: simulations; simulator; payment systems; clearing/settlement; liquidity;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Angelini, Paolo, 1998. "An analysis of competitive externalities in gross settlement systems," Journal of Banking & Finance, Elsevier, vol. 22(1), pages 1-18, January. [Downloadable!] (restricted)
  2. Bech, Morten L. & Garratt, Rod, 2003. "The intraday liquidity management game," Journal of Economic Theory, Elsevier, vol. 109(2), pages 198-219, April. [Downloadable!] (restricted)
    Other versions:
  3. repec:fth:bfdipa:16/99 is not listed on IDEAS
  4. Leinonen, Harry & Soramäki, Kimmo, 1999. "Optimizing Liquidity Usage and Settlement Speed in Payment Systems," Research Discussion Papers 16/1999, Bank of Finland. [Downloadable!]
  5. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  6. Xavier Freixas & Bruno Parigi, 1998. "Contagion and efficiency in gross and net interbank payment systems," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 247-274.
  7. James J. McAndews & George Wasilyew, 1995. "Simulations of failure in a payment system," Working Papers 95-19, Federal Reserve Bank of Philadelphia.
  8. Koponen, R. & Soramaki, K., 1998. "Intraday Liquidity Needs in a Modern Interbank Payment System. A Simulation Approach," Bank of Finland - Studies in Economics and Finance e14, Bank of Finland. Research Department..
  9. Kahn, Charles M & Roberds, William, 1998. "Payment System Settlement and Bank Incentives," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(4), pages 845-70.
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  10. Freixas, Xavier & Parigi, Bruno, 1998. "Contagion and Efficiency in Gross and Net Interbank Payment Systems," Journal of Financial Intermediation, Elsevier, vol. 7(1), pages 3-31, January. [Downloadable!] (restricted)
  11. 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.). [Downloadable!]
  12. 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. [Downloadable!] (restricted)
  13. 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. [Downloadable!] (restricted)
  14. Kuussaari, Harri, 1996. "Systemic Risk in the Finnish Payment System: an Empirical Investigation," Research Discussion Papers 3/1996, Bank of Finland. [Downloadable!]
  15. 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. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Peter Galos & Kimmo Soramäki, 2005. "Systemic risk in alternative payment system designs," Working Paper Series 508, European Central Bank. [Downloadable!]
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