News

The next Annual Simulator Seminar is in August 2018 in Helsinki.

The current BoF-PSS2 simulator distribution version is 9.2.1. It is distributed with 2 payment queue and liquidity management ABM algorithms. With the new automation tools,it is possible to perform all data manipulation tasks from importing data to the running of a benchmark simulation in one go.

The latest added features are:

  • 2 liquidity management ABM algorithms
  • a data import task automation tool

Other significant improvements are the automated stress tester with enhanced liquidity and counterparty risk reporting features, the CCP (Central Counterparty) simulation tools with improved support for CSD (Central Securities Depository) multilateral securities settlement simulations. The database has been rationalized, and, together with other improvements, this has led to savings in consumed storage space and improvements in computational speed. The last significant change was the introduction of 2 ABM algorithms for the active management of payment queues and liquidity. Users can alter these algorithms and make their own ones.

For better performance it is recommended to use the latest simulator version 9.2.1 with MARIADB 10.2 or later.

BoF-PSS2

The Bank of Finland provides a multipurpose simulator, called BoF-PSS2 for replicating payment and securities settlement systems. The simulator is adaptable for modelling multisystem setups that can be combinations of payment, securities settlement systems and CCPs. The simulator supports agent based modelling (ABM) which allows to extend simulations to incorporate behavioral rules for participants active decision making and more realistic modelling.

The simulator is known to be unique and the first of its kind. Since its launch in 2002 more than 90 licenses have been distributed and it has contributed to numerous studies and research papers. The simulator can be used to fulfil some of the regulatory requirements stated in the PFMI and BCBS requirements, such as identifying liquidity and credit risks in FMIs (Financial Market Infrastructures).

The simulator can be used for:

  • Payment and securities settlement simulations 
  • CCP simulations 
  • Multiple system and currency simulations 
  • Liquidity analysis 
  • Evaluation of sufficiency of liquidity buffers and margins 
  • Analysis of settlement, liquidity and credit risks in FMIs 
  • Analysis of systemic risks and counterparty risks in FMIs 
  • Identification of critical counterparts 
  • Rule change evaluations 
  • Network analysis
  • Analysis of system and participant mergers
  • System performance benchmarking
  • Netting algorithm testing and development
  • System development and prototyping

Currently, the simulator team is working on changes allowing the parallelization of the processing of simulations and a renewed GUI.

In contrast to static calculations of indicators, the simulation results naturally incorporate network (or systemic) effects arising from the payment flows and the technical properties of the infrastructures themselves. The results obtained from simulations are directly interpretable and have a self-evident meaning which is not always the case with all indicators. The results can be used directly for risk management purposes, for example when evaluating the sufficiency of liquidity buffers and margins. Computer simulations take advantage of using the available information in full without losing micro-level information due to indicator aggregations.

The simulator is freely available for research purposes and has already been introduced in numerous countries. It is possible to tailor and adapt the simulator to specific payment or securities settlement systems. Several adaptations have already been made, like for TARGET2.

The simulator team provides training, consultation and tailored adaptations which are priced for cost recovery. The training course aims at providing the necessary skills for efficient use of BoF-PSS2 with hands-on computer class exercises. It also presents numerous examples from real studies where the tool has been used. For more details see the training course outline. Minimum attendance for the session is four participants. Training is organized on demand, and it is also possible to order a training course to be held onsite outside the proposed dates.