Zarządzanie płynnością śróddzienną w banku w ramach zewnętrznych rozwiązań systemowych

• Autorzy: Anna Iwańczuk-Kaliska

Warianty tytułu

Intraday Liquidity Management of the Bank in the Framework of External Systemic Solutions

• Języki publikacji: PL

Abstrakty

Celem niniejszego opracowania jest analiza zewnętrznych rozwiązań systemowych wykorzystywanych w zarządzaniu płynnością banków w ciągu dnia operacyjnego. Dążąc do jego realizacji, przedstawiono istotę płynności śróddziennej banku i przyczyny zmian jej poziomu w ciągu dnia operacyjnego. Następnie dokonano przeglądu stosowanych instrumentów zarządzania ryzykiem utraty płynności uczestników systemów rozrachunku brutto w czasie rzeczywistym (RTGS). W dalszej części opisano wskaźniki służące do monitoringu poziomu płynności śródddziennej zaproponowane przez Bazylejski Komitet ds. Nadzoru Finansowego. W opracowaniu wykorzystano studia literaturowe, analizę opisową i porównawczą. (skrócony abstrakt oryginalny)

EN

Intraday liquidity management is a relatively new area of financial management of the bank. Its emergence was associated with the development of the interbank payment systems towards settlements in real time, resulting in shortening of the time horizon of the liquidity management of banks. The objective of this study is to analyze the external systemic solutions used in the management of banks' liquidity during the day. In order to achieve it the paper presents the essence of intraday liquidity of the bank and changes in its level during the business day. It then describes the tools used to manage liquidity risk of the participants in real-time gross-settlement systems. Next it presents the monitoring indicators for intraday liquidity management proposed by the Basel Committee. The study is based on literature studies, descriptive and comparative analysis. (original abstract)

Słowa kluczowe

PL

Zarządzanie płynnością finansową; Banki; Zarządzanie ryzykiem

EN

Liquidity management; Banks; Risk management

• Czasopismo: Zarządzanie i Finanse
• Rocznik: 2013
• Numer: R. 11, nr 2, cz. 1
• Strony: 196--207

Twórcy

autor

Anna Iwańczuk-Kaliska

• Uniwersytet Ekonomiczny w Poznaniu

Bibliografia

• Afonso G., Shin H.S. (2011), Precautionary Demand and Liquidity in Payment Systems, "Journal of Money, Credit and Banking" (Suppl.) vol. 43, no. 7, s. 589-619.
• Angelini P. (1998), An Analysis of Competitive Externalities in Gross Settlement Systems, "Journal of Banking and Finance", vol. 22, issue 1, s. 1-18.
• Ball A., Denbee E., Manning M., Wetherilt A. (2011), Intraday Liquidity: Risk and Regulation, Bank of England "Financial Stability", no. 11.
• Beau D. (2000), Optimisation of Liquidity in Real-Time Settlement Systems, w: The Contribution of Payment Systems to Financial Stability, Bank for International Settlements, Basel.
• Bech M., Garratt R. (2003), The Intraday Liquidity Management Game, "Journal of Economic Theory", vol. 109 (2), s. 198-219.
• Becher C., Galbiati M., Tudela M. (2008), The Timing and Funding of CHAPS Sterling Payments, "Federal Reserve Bank of New York Economic Policy Review", September, s. 113-133.
• BIS (2005), New Developments in Large-Value Payment Systems, "CPSS Publications", no. 67.
• BIS (2008), Principles for Sound Liquidity Risk Management and Supervision, Basel Committee on Banking Supervision, September.
• BIS (2010), Basel III: International Framework for Liquidity Risk Masurement, Standards and Monitoring, Basel Committee on Banking Supervision, December.
• BIS (2012), Monitoring Indicators for Intraday Liquidity Management - consultative document, Basel Committee on Banking Supervision, July.
• Bordo M., Jonung L. (1997), The Long-Run Behaviour of the Velocity of Circulation: the International Evidence, Cambridge University Press, Cambridge.
• Buckle S., Campbell E. (2003), Settlement Bank Behaviour and Throughput Rules in an RTGS Payment System with Collateralised Intraday Credit, "Bank of England Working Paper", no. 209.
• Central Bank of Brazil (2008), Brazilian Payment System, September.
• Denbee E., Norman B. (2010), The Impact of Payment Splitting on Liquidity Requirements in RTGS, "Bank of England Working Paper", no. 404.
• Galbiati M., Soramäki K. (2010), Liquidity-saving Mechanisms and Bank Behavior, "Bank of England Working Paper", no. 400.
• Giovanoli M. (1995), Legal Issues Regarding Payment and Netting Systems, Lloyd's of London Press, London.
• Hervo F., (2008), Recent Developments in Intraday Liquidity in Payment and Settlement Systems, Banque de France "Financial Stability Review", no. 11, s. 149-163.
• Humphrey D.B., Mengle D.L., Summers B.J. (1987), Intraday Credit: Risk, Value, and Pricing, Federal Reserve Bank of Richmond "Economic Review", vol. 73, no. 1.
• Johnson K., McAndrews J., Soramäki K. (2004), Economizing on Liquidity with Deferred Settlement Mechanisms, "Federal Reserve Bank of New York, Economic Policy Review", December, s. 51-72.
• Jurgilas M., Martin, A. (2010), Liquidity-saving Mechanisms in Collateral-based RTGS Payment Systems, "Bank of England Working Paper", no. 389.
• Kahn C.M., Roberds W. (1999), The Design of Wholesale Payments Network: The Importance of Incentives, Federal Reserve Bank of Atlanta, "Economic Review" no. 3, s. 30-39.
• Leon C. (2012), Estimating the Intraday Liquidity Risk of Financial Institutions: a Monte Carlo Simulation Approach, "Journal of Financial Market Infrastructures", vol. 1, no. 1, s. 75-107.
• Manning M., Nier E., Schanz J. (2009), The Economics of Large-value Payment and Settlement Systems: Theory and Policy Issues for Central Banks, Oxford University Press, Oxford.
• Norman B. (2010), Liquidity Saving in Real-Time Gross Settlement Systems - An Overview, "Bank of England Financial Stability Paper", no. 7.
• Ota T. (2011), Intraday Two-part Tariff in Payment Systems, "Bank of England Working Paper", no. 428.
• Willison M. (2005), Real-Time Gross Settlement and Hybrid Payment Systems: a Comparison, "Bank of England Working Paper", no. 252.
• World Bank (2008), Payment Systems Worldwide - a Snapshot, Outcomes of the Global Payment Systems Survey - Appendix.
• Zhou R. (2000), Understanding Intraday Credit in Large-Value Payment Systems, "Economic Perspectives", no. 24, s. 29-44.