Similar Search Results

Outlier Detection in TARGET2 Risk Indicators

Heijmans, Ronald - 2019

This paper studies the detection of outliers in risk indicators based on large value payment system transaction data. The ten risk indicators are daily time series measuring various risks in the large value payment system, such as operational risk, concentration risk and liquidity flows related...

Persistent link: https://www.econbiz.de/10012893107

How Much Liquidity Would a Liquidity-saving Mechanism Save if a Liquidity-saving Mechanism could Save Liquidity? A Simulation Approach for Canada’s Large-value Payment System

Byck, Shaun - 2020

Canada's Large Value Transfer System (LVTS) is in the process of being replaced by a real-time gross settlement (RTGS) system. A pure RTGS system typically requires participants to hold large amounts of intraday liquidity in order to settle their payment obligations. Implementing one or more...

Persistent link: https://www.econbiz.de/10012836276

Cyclical Patterns in Risk Indicators Based on Financial Market Infrastructure Transaction Data

Timmermans, Monique - 2017

This paper studies cyclical patterns in risk indicators based on TARGET2 transaction data. These indicators provide information on network properties, operational aspects and links to ancillary systems. We compare the performance of two different ARIMA dummy models to the TBATS state space...

Persistent link: https://www.econbiz.de/10012954341

Risk Indicators for Financial Market Infrastructure : From High Frequency Transaction Data to a Traffic Light Signal

Berndsen, Ron - 2017

This paper identifies quantitative risks in financial market infrastructures (FMIs), which are inspired by the Principles for Financial Market Infrastructures. We convert transaction level data into indicators that provide information on operational risk, changes in the network structure and...

Persistent link: https://www.econbiz.de/10012954342

Is this Bank Ill? The Diagnosis of Doctor TARGET2

Heijmans, Ronald - 2011

We develop indicators for signs of liquidity shortages and potential financial problems of banks by studying transaction data of the Dutch part of the European real time gross settlement system and collateral management data. The indicators give information on 1) overall liquidity position, 2)...

Persistent link: https://www.econbiz.de/10013119520

How to Measure the Unsecured Money Market? The Eurosystem's Implementation and Validation Using TARGET2 Data

Arciero, Luca - 2013

This paper develops a methodology, based on Furfine (1999), to identify unsecured interbank money market loans from transaction data of the most important euro processing payment system, TARGET2, for maturity ranging from one day (overnight) up to three months. The implementation has been...

Persistent link: https://www.econbiz.de/10013088017

Shallow or Deep? Detecting Anomalous Flows in the Canadian Automated Clearing and Settlement System using an Autoencoder

Sabetti, Leonard - 2020

Financial market infrastructures and their participants play a crucial role in the economy. Financial or operational challenges faced by one participant can have contagion effects and pose risks to the broader financial system. Our paper applies (deep) neural networks (autoencoder) to detect...

Persistent link: https://www.econbiz.de/10012836279

Exchange Rate Pass-Through and Monetary Integration in the Euro Area

Saiki, Ayako - 2011

The purpose of this study is to examine how monetary integration affects the exchange rate pass-through, by testing whether monetary policy convergence in the euro area led to a convergence in terms of exchange rate pass-through. We conduct a comparative study between the “experiment group”...

Persistent link: https://www.econbiz.de/10013118966

Towards a Stable Monetary Union : What Role for Eurobonds?

Gilbert, Niels D. - 2013

This paper investigates the role that Eurobonds could play in making EMU stable in the long run. We establish that EMU's budgetary problems are not only caused by lack of budgetary discipline, but also by the large and sudden fiscal deterioration during the financial crisis. This type of shock...

Persistent link: https://www.econbiz.de/10013081495

Life Cycle Assessment of Cash Payments

Hanegraaf, Randall - 2018

using a life cycle assessment (LCA). It examines both the impact of coins and of banknotes. In addition, it identifies areas … of banknotes, the production of coins, the operation phase, the end of life of banknotes and the end of life of coins … operation phase (e.g. energy use of ATMs, transport of banknotes and coins) (64%) and coin production phase (32%) had the …

Persistent link: https://www.econbiz.de/10012909344