An application of shapley value cost allocation to liquidity savings mechanisms

Saved in:

Authors and Corporations:

Garratt, Rod (Author)

Type of Resource:

E-Book

Language:

English

published:

[Ottawa] Bank of Canada [2019]

Series:

Subjects:

Payment clearing and settlement systems

Graue Literatur

Source:

Verbunddaten SWB
Lizenzfreie Online-Ressourcen

Description
Summary:	This paper describes a proposal for operating a centralized netting queue for non-urgent interbank payments that involves take-it-or-leave-it offers and allocates liquidity costs using the Shapely value. This method achieves fairness and ensures welfare maximizing netting proposals are agreeable to all providers of liquidity.
Physical Description:	1 Online-Ressource (circa 17 Seiten)