Is There Anybody Out There? Detecting Operational Outages from LVTS Transaction Data

25 Pages Posted: 23 Apr 2020

See all articles by Neville Arjania

Neville Arjania

Government of Canada - Canada Deposit Insurance Corporation (CDIC)

Ronald Heijmans

De Nederlandsche Bank

Date Written: April 19, 2020

Abstract

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

Arjania, Neville and Heijmans, Ronald, Is There Anybody Out There? Detecting Operational Outages from LVTS Transaction Data (April 19, 2020). De Nederlandsche Bank Working Paper No. 683, Available at SSRN: https://ssrn.com/abstract=3581603 or http://dx.doi.org/10.2139/ssrn.3581603

Neville Arjania

Government of Canada - Canada Deposit Insurance Corporation (CDIC) ( email )

50 O'Connor Street, 17th Floor
P.O. Box 2340, Station D
Ottawa, Ontario K1P 5W5
Canada

Ronald Heijmans (Contact Author)

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

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