PhD Defense R.A. Heuver
Applications of liquidity risk discovery using financial market infrastructures transaction archives
In this PhD thesis we develop tools for exploring liquidity risk within banks or within the banking network by using the data stored by financial market infrastructures. More specifically we study large value payment systems as they form the core of the whole financial infrastructure and make policy recommendations from a financial stability perspective. We develop an algorithm for the identification of money market trades that are present in the European large value payment system TARGET2. Further, we use the payment network to generate an LCR-like statistic on a daily basis and simulate liquidity failure of each of the systemically important banks. The aim of the chapter is to uncover paths of contagion which give a sense of potential systemic risk present in the network. Liquidity stress constitutes an ongoing threat to financial stability in the banking sector. For this reason, central banks carefully monitor the payment activities of banks in financial market infrastructures and try to detect early warning signs of liquidity stress. We investigate whether this monitoring task can be performed by supervised machine learning and find that it is a promising new tool.
Richard Heuver (1962) graduated in physical education in 1985 and, due to poor market prognoses, started his career at the Dutch central bank. He has always been involved in information technology, business intelligence and analysis of financial banking data. During the past two decades he worked in the payments and market infrastructures division and became increasingly involved in research into risks within payment systems. His research focuses on stress scenario analysis, network topology, the interbank money market and identification of behavioral aspects and signs of liquidity problems within the banking community.
- Location: Cobbenhagen building, Aula (access via Koopmans building)
- Supervisors: Prof. S.C.W. Eijffinger, Prof. R.J. Berndsen
Tilburg University follows the guidelines of the National Institute for Public Health and the Environment (RIVM) concerning the corona virus. Due to the most recent developments, we offer these PhD defenses via a live stream. Therefore, the ceremony can be attended online via this live stream.