Search Results - subject:"Interbank"

From LVTS to Lynx : quantitative assessment of payment system transition

Desai, Ajit; Lu, Zhentong; Rodrigo, Hiru; Sharples, Jacob; … - 2023 - Last updated: April 14, 2023

Modernizing Canada's wholesale payments system to Lynx from the Large Value Transfer System (LVTS) brings two key changes: (1) the settlement model shifts from a hybrid system that combined components of both real-time gross settlement (RTGS) and deferred net settlement (DNS) to an RTGS system;...

Persistent link: https://www.econbiz.de/10014253799

How banks create gridlock to save liquidity in Canada's large value payment system

Garratt, Rod; Lu, Zhentong; Tian, Phoebe - 2023 - Last updated: May 4, 2023

Using detailed data from Canada's new high-value payment system (HVPS), we show how participants of the system save liquidity by exploiting the new gridlock resolution arrangement. These observed behaviors are consistent with the equilibrium of a "gridlock game" that captures the key incentives...

Persistent link: https://www.econbiz.de/10014253824

Bank funding risk, reference rates, and credit supply

Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - 2023 - Revised February 2023

Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debtoverhang cost to bank shareholders. Until 2022, this impact was reduced by linking the interest...

Persistent link: https://www.econbiz.de/10013490630

Contingent capital with stock price triggers in interbank networks

Balter, Anne G.; Schweizer, Nikolaus; Vera, Juan C. - In: Mathematics of operations research 48 (2023) 1, pp. 520-543

Persistent link: https://www.econbiz.de/10014312569

Margin dynamics in centrally cleared commodities markets in 2022

Basel Committee on Banking Supervision; Bank für …; … - 2023

Persistent link: https://www.econbiz.de/10014313290

Facilitating increased adoption of payment versus payment (PvP) : final report

Bank für Internationalen Zahlungsausgleich / Committee … - 2023

Persistent link: https://www.econbiz.de/10014313301

Operational and technical considerations for extending and aligning payment system operating hours for cross-border payments: an analytical framework : technical report

Bank für Internationalen Zahlungsausgleich / Committee … - 2023

Persistent link: https://www.econbiz.de/10014313322

The Norwegian overnight interbank market during the Covid pandemic

Akram, Qaisar Farooq; Findreng, Jon; Smith, Lyndsie - 2023

We analyse the behaviour of the Norwegian unsecured overnight interbank market in response to heightened uncertainty … bank reserves across banks did not change due to these measures, but interbank trading fell sharply. Ample liquidity … support through the auctions and low interbank trading contributed to low and overly stable overnight rates. Actually …

Persistent link: https://www.econbiz.de/10014314135

Connectivity, centralisation and 'robustness-yet-fragility' of interbank networks

Eboli, Mario; Ozel, Bulent; Teglio, Andrea; Toto, Andrea - In: Annals of finance 19 (2023) 2, pp. 169-200

Persistent link: https://www.econbiz.de/10014326745

Interbank asset-liability networks with fire sale management

Feinstein, Zachary; Hałaj, Grzegorz - 2023

construct a portfolio subject to budget constraints so as to raise cash to satisfy creditors (interbank and external). We assume …

Persistent link: https://www.econbiz.de/10014278677