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.
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.
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.
- BoK Research paper: Network Indicators for Monitoring Intraday Liquidity in BOK-Wire+
- Journal article: SinkRank: An Algorithm for Identifying Systemically Important Banks in Payment Systems