Liquidity, Risk Concentration and Network Structure in the Austrian Large Value Payment System

18 Pages Posted: 1 Mar 2006

See all articles by Stefan W. Schmitz

Stefan W. Schmitz

Oesterreichische Nationalbank (OeNB); Vienna Circle Society

Claus Puhr

Oesterreichische Nationalbank (OeNB)

Date Written: December 29, 2006

Abstract

The objective of this paper is to present a statistical analysis of liquidity, risk concentration, and network structure in ARTIS. The main results of the analysis were: Despite sufficient aggregate liquidity, individual accounts were occasionally illiquid and payment delays occurred frequently. The disaggregated analysis of liquidity usage revealed that liquidity usage was highly heterogeneous across participants. These results demonstrate that conclusions drawn from aggregate liquidity data do not necessarily apply to the individual participant level. In general, the value and the number of payments received and submitted were quite concentrated among the top three banks and the top transfer account in the ARTIS system during the sample period. This conclusion is supported by the analysis of the network topology. An analysis of operational risk in the system (Schmitz et al. 2006) should focus on operational problems at the institutions with high payment concentration risk and high liquidity concentration risk to test for high impact scenarios.

Keywords: operational risk, payment system, network structure, liquidity and payment risk

JEL Classification: E10, G10

Suggested Citation

Schmitz, Stefan W. and Puhr, Claus, Liquidity, Risk Concentration and Network Structure in the Austrian Large Value Payment System (December 29, 2006). Available at SSRN: https://ssrn.com/abstract=954117 or http://dx.doi.org/10.2139/ssrn.954117

Stefan W. Schmitz (Contact Author)

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner Platz 3
POB 61
Vienna 1011
Austria

Vienna Circle Society ( email )

Spitalgasse 2-4, Court 1
Vienna, 1090
Austria

Claus Puhr

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner-Platz 3
1090 Vienna
Austria

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