Optimal Dynamic Clearing for Interbank Payments
References
- (2017) Variations in market liquidity and the intraday interest rate. J. Money Credit Banking 49(4):733–765.Crossref, Google Scholar
- (2022) On the optimal design of a bipartite matching queueing system. Oper. Res. 70(1):363–401.Link, Google Scholar
- (2011) Precautionary demand and liquidity in payment systems. J. Money Credit Banking 43(s2):589–619.Crossref, Google Scholar
- (2015) Direct participants’ behavior through the lens of transactional analysis: The case of SPEI®. Takayasu H, Ito N, Noda I, Takayasu M, eds. Proc. Internat. Conf. Social Model. Simulation Plus Econophysics Colloquium 2014 (Springer, Cham, Switzerland), 205–215.Google Scholar
- (2016a) To fully net or not to net: Adverse effects of partial multilateral netting. Oper. Res. 64(5):1135–1142.Link, Google Scholar
- (2016b) Uniqueness of equilibrium in a payment system with liquidation costs. Oper. Res. Lett. 44(1):1–5.Crossref, Google Scholar
- (2017) Efficient dynamic barter exchange. Oper. Res. 65(6):1446–1459.Link, Google Scholar
- (1998) An analysis of competitive externalities in gross settlement systems. J. Banking Finance 22(1):1–18.Crossref, Google Scholar
- (2006) A primer on Canada’s Large Value Transfer System. Technical report, Bank of Canada, Ottawa.Google Scholar
- (2011) Precautionary reserves and the interbank market. J. Money Credit Banking 43(s2):311–348.Crossref, Google Scholar
- (2020) Foundations and trends at the interface of finance, operations, and risk management. Preprint, submitted November 4, http://dx.doi.org/10.2139/ssrn.3693440.Google Scholar
- (2010) Settlement delays in the money market. J. Banking Finance 34(5):934–945.Crossref, Google Scholar
- (2003) The intraday liquidity management game. J. Econom. Theory 109(2):198–219.Crossref, Google Scholar
- (2012) Illiquidity in the interbank payment system following wide-scale disruptions. J. Money Credit Banking 44(5):903–929.Crossref, Google Scholar
- (1996) A framework for analyzing efficiency, risks, costs, and innovations in the payments system. J. Money Credit Banking 28(4):696–732.Crossref, Google Scholar
- (2018) Risk-sensitive asset management and cascading defaults. Math. Oper. Res. 43(1):1–28.Link, Google Scholar
- (2022) Asymptotically optimal control of a centralized dynamic matching market with general utilities. Oper. Res. 70(6):3355–3370.Link, Google Scholar
- (2021) How much liquidity would a liquidity-saving mechanism save if a liquidity-saving mechanism could save liquidity? A simulation approach for Canada’s large-value payment system. J. Financial Market Infrastructures 9(3):1–28.Google Scholar
- (2019) A unified framework for regime-switching models. Working paper, Hong Kong University of Science and Technology (Guangzhou), Guangzhou, China.Google Scholar
- (2016) Liability concentration and systemic losses in financial networks. Oper. Res. 64(5):1121–1134.Link, Google Scholar
- (2018) Clearinghouse margin requirements. Oper. Res. 66(6):1542–1558.Link, Google Scholar
- (2020) A dynamic network model of interbank lending—Systemic risk and liquidity provisioning. Math. Oper. Res. 45(3):1127–1152.Link, Google Scholar
- (2013) A model of tiered settlement networks. J. Money Credit Banking 45(2–3):327–347.Crossref, Google Scholar
- (2016) The Bank of Canada’s exposure to default risk in Canada’s Large Value Transfer System. Technical report, Bank of Canada, Ottawa.Google Scholar
- (2018) A partitioning algorithm for Markov decision processes with applications to market microstructure. Management Sci. 64(2):784–803.Link, Google Scholar
- (2016) An optimization view of financial systemic risk modeling: Network effect and market liquidity effect. Oper. Res. 64(5):1089–1108.Link, Google Scholar
- (2019) Nonlinear pricing and the market for settling payments. J. Money Credit Banking 51(1):195–226.Crossref, Google Scholar
- (2018) Payments delay: Propagation and punishment. Technical report, Banque de France, Paris.Google Scholar
- (2021) An axiomatization of the proportional rule in financial networks. Management Sci. 67(5):2799–2812.Link, Google Scholar
- (2000) Numerically stable generation of correlation matrices and their factors. BIT Numer. Math. 40(4):640–651.Crossref, Google Scholar
- (2019) Double-sided matching queues: Priority and impatient customers. Oper. Res. Lett. 47(3):219–224.Crossref, Google Scholar
- (2003) Planning an Evolution: The Story of the Canadian Payments Association, 1980–2002 (Bank of Canada and the Canadian Payments Association, Ottawa).Google Scholar
- (2001) Systemic risk in financial systems. Management Sci. 47(2):236–249.Link, Google Scholar
- (1998) Contagion and efficiency in gross and net interbank payment systems. J. Financial Intermediation 7(1):3–31.Crossref, Google Scholar
- (1998) Analyzing alternative intraday credit policies in real-time gross settlement systems. J. Money Credit Banking 30(4):832–848.Crossref, Google Scholar
- (2011) Risk analysis of collateralized debt obligations. Oper. Res. 59(1):32–49.Link, Google Scholar
- (2015) On the dynamic control of matching queues. Stochastic Systems 4(2):479–523.Link, Google Scholar
- (1996) The bigstep approach to flow management in stochastic processing networks. Kelly FP, Zachary S, Ziedins I, eds. Stochastic Networks: Theory and Applications (Oxford University Press, Oxford, UK), 57–90.Google Scholar
- (2006) Correction: Brownian models of open processing networks: Canonical representation of workload. Ann. Appl. Probab. 16(1):1703–1732.Google Scholar
- (1999) Heavy traffic resource pooling in parallel-server systems. Queueing Systems 33(4):339–368.Crossref, Google Scholar
- (1997) Dynamic control of Brownian networks: State space collapse and equivalent workload formulations. Ann. Appl. Probab. 7(3):747–771.Crossref, Google Scholar
- (2003) Payment obligations, reserve requirements, and the demand for central bank balances. J. Monetary Econom. 50(2):419–432.Crossref, Google Scholar
- (2006) Efficient pricing of large value interbank payment systems. J. Money Credit Banking 38(7):1797–1818.Crossref, Google Scholar
- (2013) Liquidity-saving mechanisms in collateral-based RTGS payment systems. Ann. Finance 9(1):29–60.Crossref, Google Scholar
- (1998) Payment system settlement and bank incentives. Rev. Financial Stud. 11(4):845–870.Crossref, Google Scholar
- (2001) Real-time gross settlement and the costs of immediacy. J. Monetary Econom. 47(2):299–319.Crossref, Google Scholar
- (2009) Payments settlement: Tiering in private and public systems. J. Money Credit Banking 41(5):855–884.Crossref, Google Scholar
- (2003) Settlement risk under gross and net settlement. J. Money Credit Banking 35(4):591–608.Crossref, Google Scholar
- (2009) State space collapse and diffusion approximation for a network operating under a fair bandwidth sharing policy. Ann. Appl. Probab. 19(5):1719–1780.Crossref, Google Scholar
- (2024) Dynamic matching: Characterizing and achieving constant regret. Management Sci. 70(5):2799–2822.Link, Google Scholar
- (2019) Vulnerability analysis of the financial network. Management Sci. 65(7):3302–3321.Link, Google Scholar
- (2008) A dynamic model of settlement. J. Econom. Theory 142(1):233–246.Crossref, Google Scholar
- (2012) Optimal clearing arrangements for financial trades. J. Financial Econom. 103(1):189–203.Crossref, Google Scholar
- (2020) An economic perspective on payments migration. Technical report, Bank of Canada, Ottawa.Google Scholar
- (2010) Daytime is money. J. Money Credit Banking 42(8):1689–1702.Crossref, Google Scholar
- (2015) Liquidity risk and policy options. J. Banking Finance 50(C):514–527.Crossref, Google Scholar
- (2004) Optimal pricing of intraday liquidity. J. Monetary Econom. 51(2):401–424.Crossref, Google Scholar
- (2008) Liquidity-saving mechanisms. J. Monetary Econom. 55(3):554–567.Crossref, Google Scholar
- (2010) A study of competing designs for a liquidity-saving mechanism. J. Banking Finance 34(8):1818–1826.Crossref, Google Scholar
- (2006) Alternative central bank credit policies for liquidity provision in a model of payments. J. Monetary Econom. 53(7):1593–1611.Crossref, Google Scholar
- (2008) Risk and concentration in payment and securities settlement systems. J. Monetary Econom. 55(3):542–553.Crossref, Google Scholar
- (2019) Intraday liquidity facilities, late settlement fee and coordination. J. Banking Finance 106(C):124–131.Crossref, Google Scholar
- (1996) Controlling risk in payment systems. J. Money Credit Banking 28(4):832–862.Crossref, Google Scholar
- (2022) Insights from the LVTS overnight loan market: Implications for Lynx collateral. Discussion paper, Payments Canada, Ottawa.Google Scholar
- (2019) Risk analysis for large pools of loans. Management Sci. 65(1):107–121.Link, Google Scholar
- (2018) Payment instruments and collateral in the interbank payment system. J. Econom. Theory 178(C):82–104.Crossref, Google Scholar
- (2019) Dynamic portfolio execution. Management Sci. 65(5):2015–2040.Abstract, Google Scholar

