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What To Do about Bilateral Credit Limits in the LVTS When a Closure Is Anticipated: Risk versus Liquidity Sharing among LVTS Participants
O'Connor, Sean; Caldwell, Greg - Bank of Canada - 2008
The authors examine the effect of a trade-off between shared credit risk and liquidity efficiency, among participants … credit limits (BCLs) to a participant at risk of imminent closure. The authors' analysis considers a network of three banks …
Persistent link: https://www.econbiz.de/10005808265
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Credit in a Tiered Payments System
Lai, Alexandra; Chande, Nikil; O'Connor, Sean - Bank of Canada - 2006
risk to the clearing agent from the provision of uncollateralized overdrafts to its indirect clearer. The results suggest …
Persistent link: https://www.econbiz.de/10005162530
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Liquidity Efficiency and Distribution in the LVTS: Non-Neutrality of System Changes under Network Asymmetry
O'Connor, Sean; Chapman, James; Millar, Kirby - Bank of Canada - 2008
The authors consider the liquidity efficiency of Tranche 2 of the Large Value Transfer System (LVTS T2) by examining, through an empirical analysis, some plausible strategic reactions of individual participants to a systemwide shock to available liquidity in the system. The network structure of...
Persistent link: https://www.econbiz.de/10005536847