We use a game theoretical framework to analyze the intraday behavior of banks with respect to settlement of interbank claims in a real time gross settlement setting. We find that the game played by banks depends upon the intraday credit policy of the central bank and that it encompasses two...

Central banks have become increasingly worried about systemic risks to the financial market and infrastructure stemming from payment systems. Failure to settle by a participant in a netting system can potentially jeopardize the settlement of other participants. The fear of a systemic crisis has...