Paper presents real-time bank stress measurement tool

Bank of Italy
The Bank of Italy
Photo: Aleksandrasana/Wikimedia Commons

A working paper published by the Bank of Italy proposes a new method for rapidly identifying sudden outflows from bank deposits.

In Identifying deposits’ outflows in real-time, Edoardo Rainone presents a methodology which can accomplish several tasks. It can measure deposit flows in real time gross settlement systems. He also presents an algorithm that can identify banking stress episodes, “and quantify their severity in real-time”.

The author tests his method using both Monte Carlo

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