of Payment Systems Case: Bank of Finland 8th Payment and Settlement System Simulation Seminar and Workshop August, 2010
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1 Simulation Based Tools for Regular Oversight of Payment Systems Case: Bank of Finland 8th Payment and Settlement System Simulation Seminar and Workshop August, 2010 Tatu Laine & Tuomas Nummelin Bank of Finland Disclaimer Presented views are those of the authors and do not necessarily reflect the view of Bank of Finland Also The views of the authors are subject to changes without prior notice (i.e. work in progress) 2 1
2 Agenda Introduction Concept Toolbox Summary 3 Agenda Introduction Concept Toolbox Summary 4 2
3 Oversight Vehicle Development Analysis Policy Monitoring Assessment Crisis management Toolbox 5 financial stability network analysis accessability monitoring process oriented quality tools investigating g aggregative combination visual quantitative analysis process flow customer focused best practises concept toolbox workflow change detection automatic customization improvement standardization possible usability data versatile quantitative simple flexibility scalability qualitative analysis stress test simulator 6 3
4 Project Goal To identify and develop recurrent reports and analysis to serve the oversight function and by taking advantage of the BoF-PSS2 simulator 7 Agenda Introduction Concept Toolbox Summary 8 4
5 Development Process Customer User requirements Validation User specifications System testing Technical design Development team 9 Development Path Assignment Re-thinking Framing Solution Concept 10 5
6 First Trial Automatic loading of the input data Graphical analysis tools Input data Simulation Analysis Automatic setup of the simulation parameters 11 Re-thinking Framing Analyses based on input data Analysis tools Input data Simulation Analysis tools What-If analyses 12 6
7 Final Concept Input data Data analyses Simulation analyses Automatic input data loading Change detection Describing data Automatic testing What-If- Scenarios Automatic detection of change Payment flow distributions Network indicators Distribution evolution Payment flow structure Importance of the participants Liquidity screener Criticality screener Bottleneck finder Technical failure Default of a participant and new deal of the payment flows New participant Stinking participant New CCP Liquidity adjustment Structure matrix 2D- Histogram Histogram evolution Limits and collateral Importance of the participants Network indicators Net flows Kernel pictures Sub vs. Sett 13 Level of Automation in Analysis Turnkey reports Interactive tools What-If- Scenarios Academic research 14 7
8 Agenda Introduction Concept Toolbox Summary 15 Novelty Concepts Toolbox Internal structure of the system Systemically important participants Joint-disribution of the two attributes of the data Structure Matrix 2D- Histograms What-If- Scenarios Histogram Evolution Hypotetical standardized scenarios for simulation. Development of distributions over time 16 8
9 Novelty Concepts Structure of the System Structure Matrix Opening the internal structure of the system Showing the systemically important participants and connections. Usefull tool in both case with raw data and with simulation results. Many options to show data in this format. Can be used with aggregated results and with detailed data. 17 Novelty Concepts Relationship Between Atributes 2D-Histogram Describing relationship between two variables. Showing the structural patterns of the system. Pointing out interesting variable combinations The chosen bins define the values of the variables which will be considered as equal. The results can be show as in counts, frequencies or as a sum of a value of the transactions fall in the bin. 18 9
10 Novelty Concepts Evolution in Time or Simulation Scenarios Histogram Evolution Describing evolution of the distributions of the certain variables over the time for example. Could incorporate automated change detection. The automatic change detection is based on the ideas of the statistical process control. Expands the comparison of aggregated indicators to the comparison of distributions. 19 Novelty Concepts Hypotetical Cases What-If-Scenarios Screener Standardized and parameterized alternative scenarios. Automated scenario creation for Bof-PSS2 simulator i.e. modifying the input data to represent the what-if-scenario. Modifies the input data based on standardised scenarios and sets up simulation parameters for the simulator. Samples the individual what-ifscenarios. Draws results from larger pool of possible what-if-scenarios
11 Agenda Introduction Concept Toolbox Summary 21 BoF-PSS2 + Reports Library New CCP Network indicators Payment flow distributions Distribution evolution Stinking participant BoF-PSS2 + Reports Library Automatic data loading Payment flow structure Technical failure Liquidity adjustment Important participants Default of a participant 22 11
12 We have a dream BoF-PSS2 simulator Reports library Next generation oversight Today s oversight 23 Thank you! 12
13 Questions? 25 13
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