A dynamic approach to intraday liquidity needs

Número: 
877
Publicado: 
Clasificación JEL: 
D53, D85, E51, C63, G21, G23
Palabras clave: 
Large Value Payment System, Intraday Liquidity, Counterparty Stress Test, Discretionary Payments

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Luis E. Arango, Leonardo Bonilla-Mejía, Luz Adriana Flórez, Luis E. Arango
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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