Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Richard Heuver"'
Autor:
Richard Heuver, Ron Berndsen
Publikováno v:
SSRN Electronic Journal.
The Liquidity Coverage Ratio (LCR) requirement of the Basel III framework is aimed at making banks more resilient against liquidity shocks and indicates the extent to which a bank is able to meet its payment obligations over a 30-day stress period. N
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::919b66974c7980fcdcc090b7fd0b5843
https://doi.org/10.2139/ssrn.3576624
https://doi.org/10.2139/ssrn.3576624
Autor:
Ronald Heijmans, Richard Heuver
Publikováno v:
The Journal of Financial Market Infrastructures. 2:3-36
We develop indicators for signs of liquidity shortages and potential financial problems of banks by studying transaction data of the Dutch part of the European real time gross settlement system and collateral management data. The indicators give info
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::768a0b4d5e2679ce8f0b3a6635dbce67
https://doi.org/10.21314/jfmi.2014.025
https://doi.org/10.21314/jfmi.2014.025
The prosperity and stability of any economic structure is reliant upon a foundation of secure systems that regulate the movement of money across the globe. These structures have become an integral part of contemporary society by reducing monetary ris
Publikováno v:
The Journal of Network Theory in Finance
The Journal of Network Theory in Finance, 2016, 57-79 p
The Journal of Network Theory in Finance, 2016, 57-79 p
International audience; This paper shows how large data sets can be visualized in a dynamic way to support data exploration, highlight econometric results or provide early warning information. We use payments and unsecured money market transaction da
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3673b7d7292a50cc713ddfc5d6b4b3c9
https://hal.archives-ouvertes.fr/hal-02311907
https://hal.archives-ouvertes.fr/hal-02311907
Autor:
Ronald Heijmans, Richard Heuver
In this chapter the authors provide a method to aggregate large value payment system transaction data for executing simulations with the Bank of Finland payment simulator. When transaction data sets get large, simulation may become too time consuming
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a482868bfb9aaeabf07d38f5c13a25af
https://doi.org/10.4018/978-1-4666-8745-5.ch006
https://doi.org/10.4018/978-1-4666-8745-5.ch006
Publikováno v:
SSRN Electronic Journal.
This paper investigates the impact of the “unconventional” monetary policy measures taken by the Eurosystem on both the unsecured and the secured money markets. Furthermore, we provide insight into the shifts between the unsecured and secured mar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f7e12ede2bfc2752f5442fd2a73a47db
https://doi.org/10.2139/ssrn.2745760
https://doi.org/10.2139/ssrn.2745760
Autor:
Cristina Picillo, Richard Heuver, Marco Massarenti, Francesco Vacirca, Luca Arciero, Ronald Heijmans
This paper develops a methodology, based on Furfine (1999), to identify unsecured interbank money market loans from transaction data of the most important euro processing payment system, TARGET2, for maturity ranging from one day (overnight) up to th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7ae006280d7175cbae30ac9da97c0e40
http://www.bancaditalia.it/pubblicazioni/qef/2014-0215/QEF_215.pdf
http://www.bancaditalia.it/pubblicazioni/qef/2014-0215/QEF_215.pdf
This paper shows how large data sets can be visualized in a dynamic way to support exploratory research, highlight econometric results or provide early warning information. The case studies included in this paper case are based on the payments and un
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::3658c2a1b318dd88fd7ec783d249f86c
Publikováno v:
SSRN Electronic Journal.
This paper shows how large data sets can be visualized in a dynamic way to support exploratory research, highlight econometric results or provide early warning information. The case studies included in this paper case are based on the payments and un
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::905cbcb31ae9854776d6c01db48a8cd5
https://doi.org/10.2139/ssrn.2416821
https://doi.org/10.2139/ssrn.2416821
Publikováno v:
SSRN Electronic Journal.
This paper investigates how changes in the monetary policy framework have affected the overnight money market lending rate for the Dutch segment of the euro area during tranquil and crisis times. We present an EGARCH model on the volatility of the ov
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d89e6e1b19504f77659a218a1e232fb3
https://doi.org/10.2139/ssrn.2237144
https://doi.org/10.2139/ssrn.2237144