An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture

Iori, G. & Deissenberg, C. (2008). An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture (Report No. 08/03). London, UK: Department of Economics, City University London.

[img]
Preview
PDF
Download (751kB) | Preview

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.

Item Type: Monograph (Discussion Paper)
Additional Information: © 2008 the authors
Uncontrolled Keywords: Security clearing and settlement, gross and net systems, contagion
Subjects: H Social Sciences > HB Economic Theory
Divisions: School of Social Sciences > Department of Economics > Department of Economics Discussion Paper Series
URI: http://openaccess.city.ac.uk/id/eprint/1481

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics