Advanced Search
MyIDEAS: Login

An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture

Contents:

Author Info

  • Iori, G.
  • Deissenberg, C.

Abstract

This paper compares the so-called gross and net architectures for securities settlement. It studies the settlement risk arising from exogenous operational delays and compares the importance of settlement failures under the two architectures, as a function of the length of the settlement cycle and of different market conditions. Under both architectures, settlement failures are non-monotonically related to the length of settlement cycle. There is no evidence that continuous time settlement provides always higher stability. Gross systems appear to be more stable than net systems.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://openaccess.city.ac.uk/1481/1/0803_iori%2Ddeissenberg.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Department of Economics, City University London in its series Working Papers with number 08/03.

as in new window
Length:
Date of creation: 2008
Date of revision:
Handle: RePEc:cty:dpaper:08/03

Contact details of provider:
Postal: Department of Economics, Social Sciences Building, City University London, Whiskin Street, London, EC1R 0JD, United Kingdom,
Phone: +44 (0)20 7040 8500
Web page: http://www.city.ac.uk
More information through EDIRC

Related research

Keywords: Security clearing and settlement; gross and net systems; contagion;

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Leinonen, Harry & Soramäki, Kimmo, 1999. "Optimizing Liquidity Usage and Settlement Speed in Payment Systems," Research Discussion Papers 16/1999, Bank of Finland.
  2. Johan Devriese & Janet Mitchell, 2005. "Liquidity risk in securities settlement," Working Paper Research 72, National Bank of Belgium.
  3. Leinonen (ed), Harry, 2007. "Simulation studies of liquidity needs, risks and efficiency in payment networks," Scientific Monographs E:39/2007, Bank of Finland.
  4. Leinonen, Harry, 2003. "Restructuring securities systems processing – a blue print proposal for real-time/t+0 processing," Research Discussion Papers 7/2003, Bank of Finland.
  5. Holthausen, Cornelia & Tapking, Jens, 2007. "Raising rival's costs in the securities settlement industry," Journal of Financial Intermediation, Elsevier, vol. 16(1), pages 91-116, January.
  6. repec:fth:bfsefi:e14 is not listed on IDEAS
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cty:dpaper:08/03. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Research Publications Librarian).

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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