A Computational Model of the Market Microstructure of Bilateral Credit Limits in Payments Systems and other Financial Market Infrastructures

Payments Canada has released its latest discussion paper entitled, A Computational Model of the Market Microstructure of Bilateral Credit Limits in Payments Systems and other Financial Market Infrastructures, authored by senior researcher Segun Bewaji. The paper combines computational agent-based methods with machine learning to support understanding of participant behavior in a clearing and settlement system. The paper applies this approach to inform participants’ daily decision to allocate credit limits to each other in the Canadian Large-Value Transfer System (LVTS).

PDF icon A Computational Model of the Market Microstructure of Bilateral Credit Limits in Payments Systems and other Financial Market Infrastructures