Measuring "Herstatt Risk"

Sawaichiro Kamata
Additional contact information
Sawaichiro Kamata: Research Division 2, Institute for Monetary and Economic Studies, Bank of Japan

Monetary and Economic Studies, 1990, vol. 8, issue 2, 59-74

Abstract: "Herstatt risk" occurs when one party may not be able to receive another party's currency after delivering its own due to the delivery lag between the two currencies traded in the foreign exchange market. This risk can be measured by assuming that it is an increasing function of the delivery lag and transaction value. As a result, the degree of Herstatt risk can be obtained by market, type of transaction, and currency. One way to reduce the risk is to realize "delivery versus payment" between any two currencies.

Date: 1990
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.imes.boj.or.jp/research/papers/english/me8-2-4.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ime:imemes:v:8:y:1990:i:2:p:59-74

Access Statistics for this article

More articles in Monetary and Economic Studies from Institute for Monetary and Economic Studies, Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Kinken ().