Borradores de Economia
Número:
877
Publicado:
Clasificación JEL:
D53, D85, E51, C63, G21, G23
Palabras clave:
Large Value Payment System, Intraday Liquidity, Counterparty Stress Test, Discretionary Payments
Lo más reciente
Rocío Clara Alexandra Mora-Quiñones, Antonio José Orozco-Gallo, Dora Alicia Mora-Pérez
Leonardo Fabio Morales, Leonardo Bonilla-Mejía, Didier Hermida-Giraldo, Francisco Javier Lasso-Valderrama, José Pulido
Constanza Martínez-Ventura, Ligia Alba Melo-Becerra
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