An application of Shapley value cost allocation to liquidity savings mechanisms / by Rodney J. Garratt
- Author:
- Garratt, Rodney J., 1963-
- Published:
- [Ottawa] : Bank of Canada = Banque du Canada, 2019.
- Copyright Date:
- ©2019
- Physical Description:
- 1 online resource (ii, 13 pages).
- Additional Creators:
- Bank of Canada
- Access Online:
- epe.lac
publications.gc.ca
- Series:
- Staff working paper = Document de travail du personnel, 1701-9397 ; 2019-26
- Restrictions on Access:
- Unrestricted online access
- 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"--Abstract.
- Subject(s):
- Note:
- Distributed by the Government of Canada Publishing and Depository Services Program (Weekly acquisitions list 2019-31).
"July 2019." - Bibliography Note:
- Includes bibliographical references.
- Type of File/Data:
- Electronic monograph in PDF format.
View MARC record | catkey: 29665955