Is there anybody out there? Detecting operational outages from LVTS transaction data

Neville Arjani and Ronald Heijmans

Working Papers from DNB

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 Å“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.Â

Keywords: Operational Risk; LVTS; Financial Market Infrastructures; outages (search for similar items in EconPapers)
JEL-codes: E42 E58 G21 (search for similar items in EconPapers)
Date: 2020-04
New Economics Papers: this item is included in nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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