Is There Anybody Out There? Detecting Operational Outages from LVTS Transaction Data
25 Pages Posted: 23 Apr 2020
Date Written: April 19, 2020
Canadian Large Value Transfer System. We define an operational outage as either no or unusually low activity. We test our algorithm against a database of outages by participants reported in order to reduce false negatives. The false positives can be reduced by excluding “outages found” by the algorithm if a participant historically has no payment in a given five minute time interval. Additionally, we can test whether participants do indeed report all their operational outages. The results show that our algorithm works best for the largest participants as they send in payments continuously. Our method can be used by LVTS system operators and overseers to identify sources of operational risks.
Keywords: Operational Risk, LVTS, Financial Market Infrastructures, outages
JEL Classification: E42, E58, G21
Suggested Citation: Suggested Citation