Quantitative analysis of financial market infrastructures: further perspectives on financial stability
Laine, Tatu (ed.) (22.12.2015)
Numero
50Julkaisija
Bank of Finland
2015
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201512221501Tiivistelmä
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.
Sisällysluettelo
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
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