Simulation studies of liquidity needs, risks and efficiency in payment networks

Abstract

This publication consists of nine separate studies on payment and settlement systems conducted using simulation techniques. Most have been carried out using the payment and settlement system simulator BoF-PSS2 provided by the Bank of Finland. The preliminary versions were presented at the annual simulator seminars arranged by the Bank in 2005 and 2006. The main focus of the analyses is on liquidity requirements, settlement speed, gridlock situations, gridlock resolution methods, liquidity economising, systemic risk and the impact of shocks on system performance as well as network analysis and modelling of payment systems. The studies look at systems in several countries and cover both RTGS and netting systems as well as securities settlement systems.simulation; payment and settlement system; payment networks; liquidity; gridlock; systemic risk; counterparty risk