English, Article, Journal or magazine article edition: A Revided Exposition of the Methodology for Testing Payments Systems Risk Peter Docherty; Gehong Wang

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Bookmark: http://trove.nla.gov.au/version/22689
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Revided Exposition of the Methodology for Testing Payments Systems Risk
Author
  • Peter Docherty
  • Gehong Wang
Physical Description
  • preprint
Notes
  • Financial economists and central bankers have been concerned for some time about the possibility of financial contagion spreading from bank to bank via interbank exposures within the payments system. The initial study of payments system risk was undertaken by Humphrey (1986) who found significant risk in the U.S. Fedwire system in the mid 1980s. Subsequent studies by Angelini, Maresca &​ Russo (1996), Kuussaari (1996), Northcott (2002), Furfine (2003) and Wang &​ Docherty (2006) have found, however, little evidence of systemic risk in the payments systems of Italy, Finland, Canada, Australia and in the U.S. inter-bank market. All of these studies employ a methodology in which the effects of a simulated failure at one institution on other institutions are examined and quantified but no formal statement of the simulation process is usually provided. One exception to this is the study by Wang &​ Docherty (2006) but it is possible to further refine and sharpen the exposition offered in that study. The objective of this short paper is simply to provide such an updated and refined exposition of the default simulation methodology used in payments system risk research.
  • payments system; real time gross settlement (RTGS); deferred net settlement (DNS); systemic risk; contaigion
  • RePEc:uts:wpaper:159
Language
  • English
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