Simulations in the Dutch interbank payment system: A sensitivity analysis
This paper presents an analysis on the sensitivity of the Dutch interbank payment system with respect to the value transferred and the amount of available collateral. The Dutch system can be characterised as a system with a few large and many relatively small participants.Historical data has been used and modified to create a stress scenario. The changes with respect to the historical data are either an increase or a decrease of payment values of one of the large participants. This change of the payment value has been applied to the three large banks in the Dutch system. The collateral level has also been modified between the different stress scenarios. In total four levels of collateral are investigated of which 2 are based on historical data and 2 on theoretical calculated values, the upper and lower bound. The results of this paper are both in terms of number of banks affected and the amount of unsettled values by the end of the day.
|Date of creation:||Jan 2009|
|Contact details of provider:|| Postal: Postbus 98, 1000 AB Amsterdam|
Web page: http://www.dnb.nl/en/
More information through EDIRC
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.:
- 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.
- Elisabeth Ledrut, 2006. "A tale of the water-supplying plumber: intraday liquidity provision in payment systems," DNB Working Papers 099, Netherlands Central Bank, Research Department.
When requesting a correction, please mention this item's handle: RePEc:dnb:dnbwpp:199. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rob Vet)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.