Quantitative analysis of financial market infrastructures: further perspectives on financial stability

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Title: Quantitative analysis of financial market infrastructures: further perspectives on financial stability
ISBN: 978-952-323-084-2
Author: Laine, Tatu (ed.)
Organization: Bank of Finland
Series: Scientific monographs. E
ISSN: 1798-1085
Series year: 2015
Series number: 50
Year of publication: 2015
Publication date: 22.12.2015
Pages: 289
Subject (yso): simulointi; indikaattorit; rahoitusmarkkinat; maksujärjestelmät
Keywords: maksu- ja selvitysjärjestelmä; likviditeetti; systeemiriski; vapaamatkustuksen ongelma; käyttäytymismallinnus; RTGS-järjestelmät; järjestelmäriskit; menetelmät; RTGS; clearing/settlement; Tanska; Alankomaat; Kanada; riskit; keskuspankit; Target2; rahoituslaitokset; stressitestaus
JEL: C15; C81; C92; D53; D70; E42; E58; G01; G21
Other keywords: simulation; payment system; settlement system; liquidity; systemic risk; indicators; free riding; behavioral modeling; RTGS
Abstract: This simulator seminar book includes twelve chapters dealing with various aspects of quantitative analysis of financial market infrastructures. The topics include, among others, systemic risks, participant behavior, and new monitoring methods of various payment systems. The methodologies vary from payment system simulations to other types of quantitative analysis based e.g. on artificial neural networks as well as GARCH models. These studies have been presented in the Bank of Finland’s simulator seminars during 2012–2014.
Table of contents: Chapter 1 Tatu Laine Introduction 9 Chapter 2 Martin Diehl – Alexander Müller Analysis of the use and impact of limits 14 Chapter 3 Freddy Cepeda L. – Fabio Ortega C. A dynamic approach to intraday liquidity needs 43 Chapter 4 Ronald Heijmans – Lola Hernández – Richard Heuver Determinants of the rate of the Dutch unsecured overnight money market 64 Chapter 5 Biliana Alexandrova-Kabadjova – Liliana García Ochoa The tale of two networks in SPEI: Insights from structural indicators 88 Chapter 6 Martin Diehl Measuring free riding in large-value payment systems: the case of TARGET2 101 Chapter 7 Peter Heemeijer – Ronald Heijmans Central bank intervention in large-value payment systems: an experimental approach 125 Chapter 8 Søren Truels Nielsen Intraday liquidity management and systemic risk in the Danish interbank market 159 Chapter 9 Lana Embree – Varya Taylor Examining full collateral coverage in Canada’s large value transfer system 179 Chapter 10 Richard Heuver – Ronald Heijmans Increasing the time span in payment systems stress testing simulations 200 Chapter 11 Matti Hellqvist – Jussi Leinonen – Girts Maslinarskis Signalling analysis tests for early warning indicators from large-value payment systems 225 Chapter 12 Patrick Joseph M. Sadornas Forecasting intraday throughput of large value payment system participants using neural networks: a preliminary approach 237 Chapter 13 Carlos León Estimating the intraday liquidity risk of financial institutions: a Monte Carlo simulation approach 252
Rights: https://helda.helsinki.fi/bof/copyright


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