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Liquidity, risks and speed in payment and settlement systems : a simulation approach

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  • Leinonen, Harry

Abstract

This publication consists of eleven separate studies on payment and settlement systems conducted using simulation techniques. Most have been carried out using the payment and settlement system simulators BoF-PSS1 or BoF-PSS2 provided by the Bank of Finland and presented at the simulator seminars arranged by the Bank. The main focus in the analyses is on liquidity requirements, settlement speed, gridlock situations, gridlock resolving methods, liquidity economising, systemic risk, and the impact of shocks on system performance. The studies look at systems in several countries and cover both RTGS and netting systems as well as securities settlement systems.

Suggested Citation

  • Leinonen, Harry, 2005. "Liquidity, risks and speed in payment and settlement systems : a simulation approach," Scientific Monographs, Bank of Finland, number 2005_031.
  • Handle: RePEc:bof:bofism:2005_031
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    Cited by:

    1. 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.
    2. 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.
    3. Elisabeth Ledrut, 2007. "Simulating retaliation in payment systems: Can banks control their exposure to a failing participant?," DNB Working Papers 133, Netherlands Central Bank, Research Department.
    4. De Caux, Robert & Brede, Markus & McGroarty, Frank, 2016. "Payment prioritisation and liquidity risk in collateralised interbank payment systems," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 139-150.
    5. Leinonen, Harry, 2009. "Simulation analyses and stress testing of payment networks," Scientific Monographs, Bank of Finland, number 2009_042.
    6. Fleischman, Tomaž & Dini, Paolo, 2020. "Balancing the payment system," LSE Research Online Documents on Economics 107416, London School of Economics and Political Science, LSE Library.
    7. Tomaž Fleischman & Paolo Dini & Giuseppe Littera, 2020. "Liquidity-Saving through Obligation-Clearing and Mutual Credit: An Effective Monetary Innovation for SMEs in Times of Crisis," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(12), pages 1-30, November.
    8. Fleischman, Tomaž & Dini, Paolo & Littera, Giuseppe, 2020. "Liquidity-saving through obligation-clearing and mutual credit: an effective monetary innovation for SMEs in times of crisis," LSE Research Online Documents on Economics 107529, London School of Economics and Political Science, LSE Library.
    9. Jan Willem van den End, 2010. "Liquidity Stress-Tester: A Model for Stress-testing Banks' Liquidity Risk," CESifo Economic Studies, CESifo, vol. 56(1), pages 38-69, March.
    10. Tomav{z} Fleischman & Paolo Dini, 2020. "Balancing the Payment System," Papers 2011.03517, arXiv.org.
    11. Ana Lasaosa & Merxe Tudela, 2008. "Risks and efficiency gains of a tiered structure in large-value payments: a simulation approach," Bank of England working papers 337, Bank of England.

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