Intraday liquidity facilities, late settlement fee and coordination

Nellen, Thomas

doi:10.1016/j.jbankfin.2019.06.009

Cited by 8 publications

(3 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…It is worth noting that a majority of researchers agree that RTGS allows for minimizing systemic risk, but, simultaneously augments liquidity risk (Kahn and Roberds 2001;De Caux, Bredea, and McGroartyb 2016;Nellen 2019). That is why theoretical and empirical studies of RTGS currently are spread across different countries, including both developed economies and emerging markets (Docherty and Wang 2010;Merrouche and Nier 2012;Sun and Chan-Lau 2017;Choi 2019).…”

Section: Introductionmentioning

confidence: 99%

Systemic risk in the Angolan interbank payment system – a network approach

2020

View full text Add to dashboard Cite

In this work, we analyse the topology of the network of interbank payment flows settled via the real-time gross settlement system (RTGS) of the Angolan payment system (APS) during the fourth quarter of 2016, with the aim of discussing the APS resilience to systemic risk, focusing on its vulnerability in case of failures in the settlement of any bank payments. We conclude that (i) the Angolan RTGS payment network is sparse, characterized by low connectivity, (ii) it is a scale-free network with five banks with high connectivity, representing the main origin and destination of the settled transactions and concentrating about 47% of the total volume and amount of payments settled, which adds to contagion risk. However (iii) the systemic risk arising from the removal of a single participant from the network is low, since the largest bank in the system, with the greatest transacted volume and amount, accounts only for about 11% of the total transacted amounts. In addition, (iv) the adequate risk-mitigating operational processes of each of the RTGS subsystems safeguard the APS from systemic risk.

show abstract

Section: Introductionmentioning

confidence: 99%

Systemic risk in the Angolan interbank payment system – a network approach

2020

View full text Add to dashboard Cite

show abstract

“…charging a late settlement fee). Nellen [15] proved that a late settlement fee could encourage early settlements from all participants. The second approach is to change the design of payment systems, since Garrat [8] found that "there is a trade-off: centralized netting increases the expectation of net exposures, but reduces the variance."…”

mentioning

confidence: 99%

An online-decision algorithm for the multi-period bank clearing problem

Chen¹

2022

JIMO

View full text Add to dashboard Cite

<p style='text-indent:20px;'>The bank clearing problem (BCP) refers to the problem of designing an optimal clearing algorithm for the interbank payment system. Due to the way in which for the payment system has evolved, the classical BCP model is insufficient for addressing this problem accurately. In particular, delayed settlements are allowed in the now popular high-frequency deferred net settlement (DNS) system. In practice, the characteristics of incoming payment instructions are heavily connected to the time of day, and can be predicted with reasonable precision based on historical data. In this paper, we study the multi-period bank clearing problem (MBCP) by introducing the time dimension and considering future instructions in the decision-making process. We design a new clearing algorithm for MBCP using a model predictive control (MPC) policy, which uses historical data to predict payment instructions in the future. We benchmark the designed algorithm's performance with the classical greedy algorithm on the basis of BCP. Given that the liquidity is regular or relatively low, the numerical results indicate that the designed algorithm significantly improves the quality of clearing decision-making and is robust with respect to forecasting errors and fluctuation of future transactions.</p>

show abstract

“…Further modeling of strategic payment timing games is provided byBech (2008),Bech andGarratt (2003), andNellen (2019).…”

mentioning

confidence: 99%