A dynamic approach to intraday liquidity needs

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Borradores de Economía; No. 877

Date published

2015-03-30

Date

2015-03-30

Authors

Cepeda-López, Freddy Hernán
Ortega-Castro, Fabio Gonzalo

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ISSN

ISBN

Document language

spa
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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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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

Description

JEL Codes

G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
D53 - Financial Markets
D85 - Network Formation and Analysis: Theory
E51 - Money Supply; Credit; Money Multipliers
C63 - Computational Techniques; Simulation Modeling
G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages

Temática

Keywords

Keywords

Large value payment system , Intraday liquidity , Counterparty stress test , Discretionary payments , Simulation , Direct effect , Second-round effect , Feedback effect , Network topology

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6166
 https://hdl.handle.net/20.500.12134/6166
 https://ideas.repec.org/p/bdr/borrec/877.html
 https://doi.org/10.32468/be.877

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Borradores de Economía

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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.

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