Siddharth Untawala

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Siddharth Untawala

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

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A Calibrated Model of Intraday Settlement

Staff Discussion Paper 2018-3 Héctor Pérez Saiz, Siddharth Untawala, Gabriel Xerri
This paper estimates potential exposures, netting benefits and settlement gains by merging retail and wholesale payments into batches and conducting multiple intraday settlements in this hypothetical model of a single "calibrated payments system." The results demonstrate that credit risk exposures faced by participants in the system are largely dependent on their relative activity in the retail and wholesale payments systems.

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