Simulation studies of liquidity needs, risks and efficiency in payment networks : Proceedings from the Bank of Finland Payment and Settlement System Seminars 2005-2006

Abstract

Chapter 1 Harry Leinonen Introduction 9

Chapter 2 Kimmo Soramäki - Walter Beyeler - Morten Bech - Rober Glass New approaches for payment system simulation research 15

Chapter 3 Fabien Renault - Jean-Baptiste Pecceu From PNS to TARGET2: the cost of FIFO in RTGS payment system 41

Chapter 4 Neville M. Arjani Examining the tradeoff between settlement delay and intraday liquidity in Canada's LVTS: a simulation approach 87

Chapter 5 Kei Imakubo - James J. McAndrews Funding levels for the new accounts in the BOJ-NET 123

Chapter 6 Ana Lasaosa - Merxe Tudela Risks and efficiency gains of a tiered structure in large-value payments: a simulation approach 149

Chapter 7 Stefan W Schmitz - Claus Puhr Risk concentration, network structure and contagion in the Austrian Real Time Interbank Settlement System 183

Chapter 8 Elisabeth Ledrut How can banks control their exposure to a failing participant? 227

Chapter 9 Darcey McVanel The impact of unanticipated defaults in Canada's Large Value Transfer System 253

Chapter 10 Matti Hellqvist - Heli Snellman Simulation of operational failures in equities settlement 283