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.
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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|
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