Payment systems in the financial markets: real time gross settlement systems and the provisions of intraday liquidity
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis/Dissertation Book |
| Language: | English |
| Published: |
Basingstoke [u.a.]
Macmillan [u.a.]
1998
|
| Edition: | 1. publ. |
| Subjects: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008150757&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Physical Description: | XVIII, 152 S. graph. Darst. |
| ISBN: | 0333695771 0312176015 |
Staff View
MARC
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| 245 | 1 | 0 | |a Payment systems in the financial markets |b real time gross settlement systems and the provisions of intraday liquidity |c Marco Rossi |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Basingstoke [u.a.] |b Macmillan [u.a.] |c 1998 | |
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Record in the Search Index
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| adam_text | Contents
List of Figures lx
List of Tables x
Foreword by Alfred Steinherr xi
Preface and Acknowledgements xiii
List of Abbreviations xviii
1 Introduction 1
1.1 The evolution of payment systems 1
1.2 Description of a payment system 3
1.3 Central banks microfunctions in net payment systems 6
1.4 RTGS systems and the provision of intraday liquidity 8
PART I THE ANALYTICS OF REAL TIME
GROSS SETTLEMENT SYSTEMS
2 The Analytics of Real time Gross settlement Systems 17
2.1 Some notation and preliminary results 18
2 2 The analytics of an RTGS system 22
2 3 A simulation 28
2.4 Conclusions 31
Appendix 33
3 Extensions to the Basic Framework 39
31 A model with an arbitrary processing time distribution 39
3 2 Priority rules 45
3 3 Conclusions 51
PART II THE PROVISION OF INTRADAY LIQUIDITY IN
REAL TIME GROSS SETTLEMENT SYSTEMS
Priced Unsecured Intraday Overdraft Facilities 57
41 Pricing unsecured intraday credit in RTGS systems 61
vii
viii Contents
4.2 Some simulations 66
4.3 Conclusions 72
5 The Cost of Secured Intraday Overdraft Facilities 77
5.1 Benefits of collateral 77
5.2 Costs of collateral 79
5.3 An estimation of the cost of collateral 81
5.4 An alternative way of computing the cost of collateral 86
5.5 Conclusions 88
Appendix: Banks attitude toward risk and their
probability of default 88
Statistical Annexe: A statistical analysis of the
cost of collateral 92
PART III MONETARY POLICY IMPLICATIONS OF
REAL TIME GROSS SETTLEMENT SYSTEMS
6 An Intraday Liquidity Market 107
6.1 The relationship between intraday, overnight and
1 day interest rates 109
6.2 The cost of intraday liquidity and the bank s reserve
management problem 113
6.3 Efficiency in an RTGS system 118
6.4 Conclusions 121
7 Summary and Final Considerations 125
7.1 The analytics of RTGS systems 126
7.2 The provision of intraday liquidity in RTGS systems 129
7.3 Monetary policy implications of RTGS systems 132
7.4 Conclusions 135
7.5 Further research 136
References 139
Index 145
List of Figures
1.1 The basic structure of transactions 4
2.1 The payment process 20
2.2 The expected number of payments in the system 26
2.3 The expected waiting time spent in the system 27
2.4 The PDF for the waiting time in the system 28
2.5 The PDF for the queueing time in the system 28
3.1 The payment process (non empty system) 41
3.2 The payment process (empty system) 42
4.1 Peak daylight overdraft 60
4.2 Average per minute daylight overdraft 60
4.3 Intraday liquidity: infinitely elastic supply 62
4.4 Intraday liquidity: optimal allocation 63
4.5 Credit lines: a binomial stochastic process 64
4.6 Four possible outcomes at t,
47 Intraday liquidity: volatile demand
A5.1 The optimal portfolio 90
A5.2 The optimal portfolio: an increase in banks costs 91
A5.3 The probability of default ~?
A5.4 Net cost of collateral: UK 1 month ^
A5.5 Net cost of collateral: UK 3 month J^O
A5.6 Net cost of collateral: US 1 month j
A5.7 Net cost of collateral: US 3 month
A5.8 Net cost of collateral (unsecured v. secured
credit lines): UK 1 month
A5.9 Net cost of collateral (unsecured v. secured
credit lines): UK 3 month
A5.10 Net cost of collateral (unsecured v. secured
credit lines): US 1 month
A5.ll Net cost of collateral (unsecured v. secured
credit lines): US 3 month
ix
i
j
List of Tables !
4.1 Daylight overdrafts of depository institutions 59
4.2 Intraday overdraft, X = 8 hours 68
4.3 Intraday .overdraft, T = 6 hours 69
4.4 Intraday overdraft, x = 4 hours 70
5.1 The different components of the cost of collateral 84
5.2 Cost of collateral and average US UK differentials 87
A5.1a Summary statistics 93
A5.1b Differentials summary statistics 95
A5.1c Summary statistics (unsecured v. secured credit lines) 96
A5.1d Summary statistics: difference between the two
measures of the cost of collateral 97
A5.2 t tests 98
x
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| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
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| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV012043580 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T10:23:16Z |
| institution | BVB |
| isbn | 0333695771 0312176015 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008150757 |
| oclc_num | 476591149 |
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| owner_facet | DE-703 DE-12 DE-1047 DE-11 DE-188 |
| physical | XVIII, 152 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | Macmillan [u.a.] |
| record_format | marc |
| spellingShingle | Rossi, Marco Payment systems in the financial markets real time gross settlement systems and the provisions of intraday liquidity betalingsformidling Elektronischer Zahlungsverkehr (DE-588)4014359-4 gnd Liquidität (DE-588)4035908-6 gnd |
| subject_GND | (DE-588)4014359-4 (DE-588)4035908-6 (DE-588)4113937-9 |
| title | Payment systems in the financial markets real time gross settlement systems and the provisions of intraday liquidity |
| title_auth | Payment systems in the financial markets real time gross settlement systems and the provisions of intraday liquidity |
| title_exact_search | Payment systems in the financial markets real time gross settlement systems and the provisions of intraday liquidity |
| title_full | Payment systems in the financial markets real time gross settlement systems and the provisions of intraday liquidity Marco Rossi |
| title_fullStr | Payment systems in the financial markets real time gross settlement systems and the provisions of intraday liquidity Marco Rossi |
| title_full_unstemmed | Payment systems in the financial markets real time gross settlement systems and the provisions of intraday liquidity Marco Rossi |
| title_short | Payment systems in the financial markets |
| title_sort | payment systems in the financial markets real time gross settlement systems and the provisions of intraday liquidity |
| title_sub | real time gross settlement systems and the provisions of intraday liquidity |
| topic | betalingsformidling Elektronischer Zahlungsverkehr (DE-588)4014359-4 gnd Liquidität (DE-588)4035908-6 gnd |
| topic_facet | betalingsformidling Elektronischer Zahlungsverkehr Liquidität Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008150757&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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