An application of Shapely value cost allocation to liquidity savings mechanisms / by Rodney J. Garratt.: FB3-5/2019-26E-PDF
"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"--Abstract.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.877264&sl=0
| Department/Agency | Bank of Canada. |
|---|---|
| Title | An application of Shapely value cost allocation to liquidity savings mechanisms / by Rodney J. Garratt. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2019-26 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "July 2019." Includes bibliographical references (page 13) |
| Publishing information | [Ottawa] : Bank of Canada = Banque du Canada, 2019. ©2019 |
| Author / Contributor | Garratt, Rodney John, 1963- author. |
| Description | 1 online resource (ii, 13 pages). |
| Catalogue number |
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| Subject terms | Central banks Banking |