in a large value payment system network, combining liquidity risk and interconnections in one approach, and applying this … source of financial instability. This paper develops a composite risk indicator to evaluate the criticality of participants …

payment system network, combining liquidity risk (i.e. size of incoming and outgoing payments) and systemic impact or … financial system. This paper develops a composite risk indicator to evaluate the criticality of participants in a large value …

This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used … risk exposures. As comparison of liquidity risk projections to the available liquidity of participants in the system only …-quality liquid assets (HQLA) available at the group level to assess the overall liquidity risk that participants face in TARGET2. Our …

. Moreover, although they mitigate credit risk, CCPs create liquidity risks, because they rely on participants to provide cash … liquidity risk. …. Such requirements increase with both market volatility and default; consequently, CCP liquidity needs are inherently …