This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used stress test scenario corresponds to the counterparty stress scenario applied in the BCBS standard "Monitoring tools for intraday liquidity management" (BIS, 2013). This stress...

In this paper, we demonstrate some properties of Alpha-stable (stable) random variables and processes. It turns out that with the use of suitable statistical estimation techniques, computer simulation procedures and numerical discretization methods it is possible to construct approximations of...