A dynamic approach to intraday liquidity needs

Thumbnail
Borradores de Economía; No. 877
Date published
2015-03-30
Date of last update
2015-03-30
Author
Cepeda-López, Freddy Hernán
Ortega-Castro, Fabio Gonzalo
Document language
spa
Metadata
Show full item record
Alternative metrics
Downloads
Abstract views

Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
This paper presents a methodology to estimate the intraday liquidity that systemically important entities (SIE) need to fulfill all its obligations in a timely fashion, when a simulated failure-to-pay from its main liquidity supplier by discretionary conc
JEL Codes
G23 - Non-bank Financial Institutions; Financial Instruments; Institutional InvestorsD53 - Financial MarketsD85 - Network Formation and Analysis: TheoryE51 - Money Supply; Credit; Money MultipliersC63 - Computational Techniques; Simulation ModelingG21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Keywords
Large value payment system ; Intraday liquidity ; Counterparty stress test ; Discretionary payments ; Simulation ; Direct effect ; Second-round effect ; Feedback effect ; Network topology ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6166
https://hdl.handle.net/20.500.12134/6166
https://doi.org/10.32468/be.877
https://ideas.repec.org/p/bdr/borrec/877.html
https://ideas.repec.org/p/col/000094/012686.html
Collections
Seleccionar año de consulta:
This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit