Category Archives: Tools and software

Systemically important banks get better terms for their overnight borrowing

By Kimmo | Published: July 2, 2010
A new paper by Farooq Akram and Casper Christophersen entitled "Interbank overnight interest rates – gains from systemic importance" analyses the Norvegian overnight interbank interest rates paid by banks. They find that during the Financial crisis, the interest rates were substantially below indicative quotes of interest rates provided by major banks. The interest rate variation [...]
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Financial Network Analyzer v1.0 beta released

By Kimmo | Published: December 28, 2009
After a little over a month of development, beta version 1.0 of the tool is now ready. It is an open source project sponsored by Norges Bank. The code is available at Google Code (get in touch with me to participate) and the documentation on Google docs. Currently the tool has a command line user interface [...]
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Financial Network Analyzer project begins

By Kimmo | Published: November 24, 2009
I started a project with Norges Bank to develop an easy and comprehensive tool specifically geared towards creating and analysing financial networks constructed of trade or payment data. Its is an open source project and the program and code will be available at fna.sourceforge.net already during the development phase. The first phase of development for a command [...]
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Receipt reactive gross settlement simulator

By Kimmo | Published: September 13, 2009
The Receipt Reactive Gross Settlement (RRGS) method was proposed by Jamie McAndrews in Johnson-McAndrews and Soramaki (2004) as a new, incentive compatible liquidity saving mechanism. The basic idea of RRGS is that banks are sure to use only incoming funds to settle their less urgent payments. Each bank has the incentive to submit payments to [...]
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Software for identifying interbank loans from payment data

By Kimmo | Published: August 21, 2009
In 1999 Craig Furfine published the article “Interbank exposures: quantifying the risk of contagion” (BIS Working paper, No. 70) where he for the first time used data on individual payments settled in the interbank payment system to construct a time series of the unsecured overnight loan market. The methodology has since been duplicated by numerous studies [...]
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Genetic algorithms in Java

By Kimmo | Published: March 26, 2009
As part of another project I revisited some Java code for developing genetic algorithms (GA). I had programmed them earlier as part of our Agent-based simulations where banks’ decision making evolved through the use of genetic algorithms. I decided to make the general purpose GA code available in case someone finds a use for it. [...]
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