An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures

Giulia Iori and Christophe Deissenberg

A chapter in Computational Methods in Financial Engineering, 2008, pp 299-315 from Springer

Abstract: 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.

Keywords: Security clearing and settlement; gross and net systems; contagion (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: An Analysis of Settlement Risk Contagion in Alternative Securities Settlement Architecture (2008)
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:spr:sprchp:978-3-540-77958-2_15

Ordering information: This item can be ordered from
http://www.springer.com/9783540779582

DOI: 10.1007/978-3-540-77958-2_15

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().