Systemically Important Accounts, Network Topology and Contagion in Artis

20 Pages Posted: 27 May 2008

See all articles by Stefan W. Schmitz

Stefan W. Schmitz

Oesterreichische Nationalbank (OeNB); Vienna Circle Society

Claus Puhr

Oesterreichische Nationalbank (OeNB)

Michael Boss

Oesterreichische Nationalbank (OeNB)

Gerald Krenn

Oesterreichische Nationalbank (OeNB)

Valentina Metz

affiliation not provided to SSRN

Date Written: May 25, 2008

Abstract

The purpose of this study is the investigation of the relevance of network topology for the stability of payment systems in the face of operational shocks. The analysis is based on a large number of simulations of the Austrian large-value payment system ARTIS that quantify the contagion impact of operational shocks at participants' sites. The analysis uncovers that only few accounts are systemically important. We also find that network indicators at the node level can have some explanatory power. Their explanatory power is higher when the analysis focuses on the contagion measured by the number of banks with unsettled payments than in the case of the measure based on the value of unsettled payments. It is lower though than that of the more traditional measures of node activity (value and volume of payments). At this stage, network indicators at the network level seem to be of limited use for stability analysis.

Keywords: Payment systems, operational risk, network topology, stress tests

JEL Classification: E50, G10

Suggested Citation

Schmitz, Stefan W. and Puhr, Claus and Boss, Michael and Krenn, Gerald and Metz, Valentina, Systemically Important Accounts, Network Topology and Contagion in Artis (May 25, 2008). Available at SSRN: https://ssrn.com/abstract=1137864 or http://dx.doi.org/10.2139/ssrn.1137864

Stefan W. Schmitz (Contact Author)

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner Platz 3
POB 61
Vienna 1011
Austria

Vienna Circle Society ( email )

Spitalgasse 2-4, Court 1
Vienna, 1090
Austria

Claus Puhr

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner-Platz 3
1090 Vienna
Austria

Michael Boss

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner-Platz 3, PO Box 61
Vienna,
1010 Vienna, A-1011
Austria

Gerald Krenn

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner-Platz 3, PO Box 61
Vienna,
1010 Vienna, A-1011
Austria

Valentina Metz

affiliation not provided to SSRN

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