IDEAS home Printed from https://ideas.repec.org/a/rsk/journ7/7564216.html
   My bibliography  Save this article

Profiling banks: how to use cluster analysis with payment system data

Author

Listed:
  • Marc Glowka

Abstract

In this paper, payment profiles for participants are identified by applying clustering techniques to TARGET2 data. Payment profiles describe the general payment behavior of participants and are, therefore, relevant for several risks, such as liquidity, credit and operational risks, that payment systems face. After presenting the challenges of applying cluster analysis techniques to payments data, general payment profiles are derived from the pooled results of multiple runs of the k-means clustering algorithm with different similarity measures. Ten different payment profiles with different general intraday payment behaviors were determined in this way. By identifying the deviations of each participant from their profile on a daily basis, the stability of the payment profiles was checked for robustness.

Suggested Citation

Handle: RePEc:rsk:journ7:7564216
as

Download full text from publisher

File URL: https://www.risk.net/system/files/digital_asset/2020-06/Profiling_banks_how_to_use_cluster_analysis_with_payment_system_data.pdf
Download Restriction: no
---><---

More about this item

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsk:journ7:7564216. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Paine (email available below). General contact details of provider: https://www.risk.net/journal-of-financial-market-infrastructures .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.