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An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures

In: Computational Methods in Financial Engineering

Author

Listed:
  • Giulia Iori

    (City University)

  • Christophe Deissenberg

    (Université de la Méditerranée and GREQAM)

Abstract

The so-called gross and net architectures for securities settlement are compared. The settlement risk arising from exogenous operational delays is studied and the importance of settlement failures under the two architectures is investigated 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 the settlement cycle. There is no evidence that continuous time settlement provides always higher stability. Gross systems appear to be more stable than net systems.

Suggested Citation

  • Giulia Iori & Christophe Deissenberg, 2008. "An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 299-315, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-77958-2_15
    DOI: 10.1007/978-3-540-77958-2_15
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