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Bank of Korea and FNA develop methods for predicting intraday liquidity risk in payment systems

Background

Bank of Korea, South Korea’s central bank, was looking for ways to have early warning about intraday liquidity problems in its systemically important BoK-Wire+ interbank payment system.

Objective

To develop methods to predict the liquidity position of each member in BoK-Wire+ in real-time, as well as measure the importance of member in terms of the liquidity and operational risk a liquidity shortage would cause.

Outcomes

Bank of Korea and FNA developed a framework for identifying bank’s liquidity problems in real time and using FNA’s SinkRank algorithm to identify most critical banks. The results were published as a research paper.

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