An application of shapley value cost allocation to liquidity savings mechanisms

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

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Series:	Bank of Canada Staff Working Paper ; 2019-26
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.34989/swp-2019-26 [DOI] 1670504093 [GVK] hdl:10419/210766 [Handle] RePEc:bca:bocawp:19-26 [RePEc]
Classification:	C72 - Noncooperative Games ; E58 - Central Banks and Their Policies
Source:	EconStor

Persistent link: https://www.econbiz.de/10012144757