An application of shapley value cost allocation to liquidity savings mechanisms

by Rodney J. Garratt

This paper describes a proposal for operating a centralized netting queue for non-urgent interbank payments that involves take-it-or-leave-it offers and allocates liquidity costs using the Shapely value. This method achieves fairness and ensures welfare maximizing netting proposals are agreeable to all providers of liquidity.

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Year of publication:	[2019]
Authors:	Garratt, Rod
Publisher:	[Ottawa] : Bank of Canada
Subject:	Payment clearing and settlement systems \| Clearing \| Financial clearing \| Internationaler Zahlungsverkehr \| International payments \| Shapley-Wert \| Shapley value \| Spieltheorie \| Game theory \| Zahlungsverkehr \| Payment transactions

Extent:	1 Online-Ressource (circa 17 Seiten)
Series:	Staff working paper / Bank of Canada. - Ottawa : [Verlag nicht ermittelbar], ISSN 1701-9397, ZDB-ID 2278568-1. - Vol. 2019, 26 (July 2019)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/210766 [Handle]
Classification:	C72 - Noncooperative Games ; E58 - Central Banks and Their Policies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012037322