Analyzing the economics of financial market infrastructures:
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| Weitere beteiligte Personen: | , , , |
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| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Hershey, Pa.
Business Science Refernce
2016
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| Schriftenreihe: | Advences in finance, accounting, and economics (AFAE) book series
Premier reference source |
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| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028157381&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XXVI, 410 Seiten Diagramme |
| ISBN: | 9781466687455 |
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Datensatz im Suchindex
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| adam_text | Table of Contents
Foreword by Agustin Carstens.............................................................xvi
Foreword by Carl-Ludwig Thiele..........................................................xvii
Foreword by Job Swank..................................................................xviii
Preface..................................................................................xix
Section 1
The Role of Financial Market Infrastructures
Chapter 1
Financial Market Infrastructures: The Backbone of Financial Systems........................1
Martin Diehl, Deutsche Bundesbank, Germany
Chapter 2
The role of Financial Market Infrastructures in Financial Stability: An Overview.........20
Serafin Martinez-Jaramillo, Banco de Mexico, Mexico
Jose Luis Molina-Borboa, Banco de Mexico, Mexico
Bernardo Bravo-Benitez, Banco de Mexico, Mexico
Chapter 3
Regulating Global FMIs: Achieving Stability and Efficiency across Borders................41
Aaron Unterman, Ontario Securities Commission, Canada
Chapter 4
FMIs ֊ Knights in Shining Armour?........................................................71
Christian Goerlach, Deutsche Bank AG, Germany
Anne-Katrin Brehm, Deutsche Bank AG, Germany
Bradley Lonnen, Deutsche Bank AG, Germany
Section 2
Tools and Applications for Analyzing Financial Market Infrastructures
Chapter 5
Exploiting Parallelization to Increase the Performance of Payment Systems Simulations.....91
Tatu Antero Laine, Bank of Finland, Finland
Kasperi Korpinen, Bank of Finland, Finland
Chapter 6
Using FMI Transaction Data in Simulations: Less Is More?..................................102
Richard Heuver, De Nederlandsche Bank, The Netherlands
Ronald Heijmans, De Nederlandsche Bank, The Netherlands
Chapter 7
A Multi-Layer Network of the Colombian Sovereign Securities Market........................124
Carlos León, Banco de la República, Colombia
Jhonatan Pérez, Banco de la República, Colombia
Luc Renneboog, Tilburg University, The Netherlands
Chapter 8
Overconfidence in the Credit Card Market..................................................150
Susan Kriete-Dodds, University of Basel Switzerland
Dietmar Maringer, University of Basel, Switzerland
Chapter 9
Implementation Aspects of Indicators Related to Payments Timing...........................169
Alexandros Kaliontzoglou, Bank of Greece, Greece
Alexander Pascal Müller, Deutsche Bundesbank, Germany
Chapter 10
Intraday Liquidity Flows within the Financial Market Infrastructures in Mexico............191
Biliana Alexandrova-Kabadjova, Banco de Mexico, Mexico
Liliana Garcia-Ochoa, Banco de Mexico, Mexico
Ronald Heijmans, De Nederlandsche Bank, The Netherlands
Antoaneta Serguieva, University College London, UK
Section 3
Economics of Single Types of Financial Market Infrastructures
Chapter 11
Payment System Analysis: The Central Bank Perspective..................................209
Alexander Pascal Müller, Deutsche Bundesbank, Germany
Chapter 12
Liquidity Saving Mechanisms in Payment Systems and Settlement Liquidity: The Experience ol
Japan’s Next-Generation RTGS Project...................................................225
Masashi Nakajima, Reitaku University, Japan
Chapter 13
CCPs: A Challenge for Practical Oversight..............................................250
Anna Pliquett, Deutsche Bundesbank, Germany
Chapter 14
Ownership, Incentives and Regulation of CCP Risks......................................272
Louise Carter, Reserve Bank of Australia, Australia
Jennifer Hancock, Reserve Bank of Australia, Australia
Mark Manning, Reserve Bank of Australia, Australia
Chapter 15
Mind the Gap: Undercollateralization in the Global and Canadian OTCD Markets...........304
Jorge Cruz Lopez, Bank of Canada, Canada
Chapter 16
The Changing Role of CSDs in the Post-Trade Industry in Europe Impact of the CSD-Regulation
and T2S.................................................................................317
Ariena van Wageningen, De Nederlandsche Bank, The Netherlands
Chapter 17
Central Securities Depositories and Securities Clearing and Settlement: Business Practice and
Public Policy Concerns...................!.............................................334
Alistair Milne, Loughborough University, UK
Chapter 18
Undressing the Global Derivatives Market: Trade Repositories: Past, Present and Future.359
Marco Massarenti, European Central Bank, Germany
Compilation of References............................................................. 369
About the Contributors..................................................................401
Index
408
Detailed Table of Contents
Foreword by Agustin Carstens......................................................xvi
Foreword by Carl-Ludwig Thiele...................................................xvii
Foreword by Job Swank...........................................................xviii
Preface...........................................................................xix
Section 1
The Role of Financial Market Infrastructures
Chapter 1
Financial Market Infrastructures: The Backbone of Financial Systems............................1
Martin Diehl, Deutsche Bundesbank, Germany
Like a human being s backbone, well-functioning financial market infrastructures contribute to the
stability of the financial system. They enable fast and smooth movements, channel relevant information,
protect the channels for transmission and reduce risk. Problems in financial market infrastructures may
lead to dysfunctions of financial markets, a lack of options for transaction and, therefore, to limited
movability, misleading information or disturbed information channels and in the worst case to systemic
risk. The chapter explains the role of financial market infrastructure within the wider definition of a
financial system. Based on the historical emergence of payment systems, central clearing and central
securities depositories, the special advantage of financial market infrastructures for the productivity of
intermediaries, for the efficiency of financial markets and for the welfare of an economy is explained. The
chapter shows the economic and analytical importance and specificity of financial market infrastructures.
Chapter 2
The role of Financial Market Infrastructures in Financial Stability: An Overview...............20
Serafin Martinez-Jaramillo, Banco de Mexico, Mexico
Jose Luis Molina-Borboa, Banco de Mexico, Mexico
Bernardo Bravo-Benitez, Banco de Mexico, Mexico
Financial Market Infrastructures (FMIs) are essential for the well-functioning of the financial system, as
they play a central role in facilitating clearance and settlement of financial transactions such as payments,
securities, and derivatives contracts. Nowadays, it is widely acknowledged that the proper functioning
of systemically important FMIs is also vital to maintain financial stability; their failure for solvency
reasons or operational disruptions could almost certainly lead to systemic instability. As a consequence,
the adequate supervision of FMIs is inherent to the function of preserving financial stability. The aim of
this chapter is to provide a general overview of the different FMIs; discuss their role in financial stability
and to give an overview of the efforts made by some financial authorities towards the supervision, risk
assessment and reinforcement of FMIs.
Chapter 3
Regulating Global FMIs: Achieving Stability and Efficiency across Borders..................41
Aaron Unterman, Ontario Securities Commission, Canada
A key regulatory response to the 2008 financial crisis has been to greatly enhance the role of financial
market infrastructures (FMIs) including central counterparties and trade repositories in the global OTC
derivatives market. This chapter analyses the implications, from a regulatory perspective, of reliance on
internationally active FMIs that can be systemically important to multiple jurisdictions by examining
the multiple sources of domestic and international laws applicable to such entities. This chapter argues
that, although achievements have been made, greater international coordination is necessary to ensure
that global FMIs operate in a stable and efficient manner.
Chapter 4
FMIs ֊ Knights in Shining Armour?..........................................................71
Christian Goerlach, Deutsche Bank AG, Germany
Anne-Katrin Brehm, Deutsche Bank AG, Germany
Bradley Lonnen, Deutsche Bank AG, Germany
Great hope is being pinned on FMIs. They lie at the heart of the financial system and enable the post-
trading business by successfully completing trades and concentrating as well as mitigating risks. This
end of the payment and securities settlement business does not usually attract much attention: It is
expected to be there and function. In this respect, it is comparable to oxygen in the air ֊ most people do
not think about it, however, if something is wrong with it, things can turn bad extremely quickly. Such
was the case with the Lehman crisis of 2008, playing a major role in the unfolding of the global crisis
of the late 2000s. It became apparent just how vital these FMIs were in enabling the continuation of the
globe’s securities derivatives exchanges. In particular, CCPs played a major role in keeping transaction
processing ticking over. It became evident which knock on effects the downturn of one institution can
have on the global financial landscape. As such, we all depend on those markets and on the performance
of what can only be described as ‘knights in shining armour’.
Section 2
Tools and Applications for Analyzing Financial Market Infrastructures
Chapter 5
Exploiting Parallelization to Increase the Performance of Payment Systems Simulations..........91
Tatu Antero Laine, Bank of Finland, Finland
Kasperi Korpinen, Bank of Finland, Finland
The large amount of data and the need to perform large numbers of simulations of payment systems are
a challenge and a starting point for this paper. Parallel and distributed simulation systems are widely
used in many applications such as in military applications and entertainment. Parallel computing has
been applied in other econometric areas such as VAR models but not in payment system simulations. In
this empirical paper, a reduction in total execution times of payment system simulations is studied by
exploiting computational parallelization in a one multicore PC environment. The preliminary results of
parallel simulations are reported and the possible benefits of analyzing financial market infrastructures
using this technique are discussed. This information can be very useful for choosing a parallelization
strategy and designing the next generation platforms for parallel processing of payment and securities
settlement system simulations. This is the first time parallel computing techniques have been applied to
payment system simulations.
Chapter 6
Using FMI Transaction Data in Simulations: Less Is More?.......................................102
Richard Heuver, De Nederlandsche Bank, The Netherlands
Ronald Heijmans, De Nederlandsche Bank, The Netherlands
In this chapter the authors provide a method to aggregate large value payment system transaction data
for executing simulations with the Bank of Finland payment simulator. When transaction data sets get
large, simulation may become too time consuming in terms of computer power. Therefore, insufficient
data from a statistical point of view can be processed. The method described in this chapter provides a
solution to this statistical problem. In order to work around this problem the authors provide a method to
aggregate transaction data set in such a way that it does not compromise the outcome of the simulation
significantly. Depending on the type of simulations only a few business days or up to a year of data is
required. In case of stress scenario analysis, in which e.g. liquidity position of banks deteriorates, long
time series are preferred as business days can differ substantially. As an example this chapter shows that
aggregating all low value transactions in the Dutch part of TARGET2 will not lead to a significantly
different simulation outcome.
Chapter 7
A Multi-Layer Network of the Colombian Sovereign Securities Market.............................124
Carlos León, Banco de la República, Colombia
Jhonatan PérezBanco de la República, Colombia
Luc Renneboogy Tilburg University, The Netherlands
This chapter examines the network of Colombian sovereign securities settlements. With data from the
settlement market infrastructure we study financial institutions’ transactions from three different trading
and registering networks that we combine into a multi-layer network. Examining this network of networks
enables us to confirm that (i) studying isolated single-layer trading and registering networks yields a
misleading perspective on the relations between and risks induced by participating financial institutions;
(ii) a multi-layer approach produces a connective structure consistent with most real-world networks (e.g.
sparse, inhomogeneous, and clustered); and (iii) the multi-layer network is a multiplex that preserves the
main connective features of its constituent layers due to positively correlated multiplexity. The results
highlight the importance of mapping and understanding how financial institutions relate to each other
across multiple financial environments, and the value of financial market infrastructures as sources of
data for working on multi-layer financial networks.
Chapter 8
Overconfidence in the Credit Card Market...................................................150
Susan Kriete-Dodds, University of Basel, Switzerland
Dietmar Maringer, University of Basel, Switzerland
High credit card debt default has been symptomaticfor the U.S. and other countries in the last decades.
Different explanations for this situation exist in the literature. One explanation is overconfidence, which
has become a key concept in behavioural economics for explaining anomalies in financial markets
such as excessive trading volume. There is also the idea that overconfidence is to blame for high credit
card debt. In this paper, an agent-based model is presented that examines the effects of overconfidence
on credit card usage. Overconfidence is used here to explain why people who never intend to borrow
on their credit card(s) do so anyway. The model contains consumption, two means of payment (credit
card and cash), and a distortion to agents’ income expectations via overconfidence. It was found that
overconfidence leads to more “accidental” borrowing and higher interest rates.
Chapter 9
Implementation Aspects of Indicators Related to Payments Timing............................169
Alexandras Kaliontzoglou, Bank of Greece, Greece
Alexander Pascal Miiller, Deutsche Bundesbank, Germany
Timing analysis in an RTGS payment system offers input to operators, overseers and supervisors
about the behavior of the system or individual participants. Timing related indicators can be used as
a monitoring tool to identify liquidity circulation problems. Study of the behavior of participants may
help identify changes due to business practices shifts, reactions to unexpected events or even to various
types of stress. Furthermore, the indicators can be used in simulation studies, where the impact to timing
of different levels of induced stress to a system or changes of its institutional features may be measured
and compared. This chapter explores the experiences and challenges while setting up and evaluating two
payments timing indicators for the European RTGS TARGET2. The indicators are the “value weighted
average settlement time” as well as a form of payments “delay” indicator. The goal is to present specific
aspects of a methodological framework for implementing such indicators, for possible replication based
on granular transaction level data of other RTGS payment systems.
Chapter 10
Intraday Liquidity Flows within the Financial Market Infrastructures in Mexico.............191
Biliana Alexandrova-Kabadjova, Banco de Mexico, Mexico
Liliana Garcia-Ochoa, Banco de Mexico, Mexico
Ronald Heijmans, De Nederlandsche Bank, The Netherlands
Antoaneta Serguieva, University College London, UK
In this chapter, the authors present a methodology to study the flow of funds in large-value payment
systems (LVPSs). The algorithm presented differentiates the flow of payments into two categories: 1)
external funds, i.e. funds transferred from other financial market infrastructures (FMIs) or provided by the
central bank, and 2) the reuse of incoming payments within the same FMI. Using individual transaction
data, the algorithm evaluates to what extent incoming payments are used to cover obligations. The
method also studies the flow of intraday liquidity under the framework of its provision within Mexican
FMIs. The aim is to evaluate the impact of intraday liquidity provision, and understand how liquidity is
transmitted to participants in the Mexican Large Value Payment System, or SPEI®.
Section 3
Economics of Single Types of Financial Market Infrastructures
Chapter 11
Payment System Analysis: The Central Bank Perspective.....................................209
Alexander Pascal Miiller, Deutsche Bundesbank, Germany
Together with the growing importance of stable and efficient payment systems, payment systems analysis
has gained importance in the recent years. Central banks play the most prominent role in this field
since they have unique responsibilities but also unique opportunities. This chapter will systematize the
different aspects of payment system analysis and show their respective importance from a central bank
perspective. This will be done both from a theoretical but also from a practical point of view by giving
examples of actual work in this field. Three types of Payment system analysis will be distinguished:
Payment system analysis in the broad sense of the term, the analysis of particular payment systems and
the use of payment system data.
Chapter 12
Liquidity Saving Mechanisms in Payment Systems and Settlement Liquidity: The Experience of
Japan s Next-Generation RTGS Project......................................................225
Masashi Nakajima, Reitaku University, Japan
Payment systems are one of the key Financial Market Infrastructures (FMls) and have showed remarkable
progress over the past two decades. The first half of this chapter focuses on the evolutionary process of
payment systems, starting with the Deferred Net Settlement (DNS) system and progressing to the Real-
Time Gross Settlement (RTGS) system. Subsequently, much more sophisticated payment systems have
been put in place, which include the “Hybrid System, and the “RTGS system with Liquidity Saving
Mechanism (LSM). In the latter half of this chapter, experience from the “Next-Generation Real-Time
Gross Settlement (RTGS-XG) project of BOJ-NET is discussed. BOJ-NET is the large-value payment
system operated by Bank of Japan (BOJ). BOJ-NET added an LSM in 2008 and became an RTGS system
with LSM. The impact of the LSM’s introduction is analyzed, which includes the liquidity-saving effect,
the average waiting time in the queue, the turnover ratio, and the volume of idle liquidity.
Chapter 13
CCPs: A Challenge for Practical Oversight.................................................250
Anna Pliquett, Deutsche Bundesbank, Germany
As a first step a short summary of the historical development of CCPs is provided, followed by an outline
of the concept and core functions CCPs. Then an illustration of the main risk management safeguards of
CCPs is provided. This includes an excursus regarding the hier-archical structure of clearing and regarding
procyclical considerations with respect to CCPs. The outline of CCP counterparty risk management is
complemented by a brief overview of other risks, including liquidity risk, legal risk, and operational
risk. The consideration of the risk profile of CCPs is concluded with some insight into the main factors
determining the oversight of CCPs governance. The full picture of CCPs from an oversight perspective is
given by placing the CCPs in the clearing process and the outlining the resulting challenges for regulatory
oversight. The chapter concludes with a description of the manifold layers of today’s oversight of CCPs.
Chapter 14
Ownership, Incentives and Regulation of CCP Risks...........................................272
Louise Carter, Reserve Bank of Australia, Australia
Jennifer Hancock, Reserve Bank of Australia, Australia
Mark Manning, Reserve Bank of Australia, Australia
This chapter develops a framework to analyse the factors influencing central counterparties’ (CCPs’)
risk controls and the role of regulation. The framework illustrates the importance of sound regulation of
CCPs and helps to explain why different CCPs may make different risk management choices. Key factors
include ownership, governance and the profile and preferences of participants. International standards
for the design and operation of CCPs and other financial market infrastructures (FMIs) are reflected in
the Principles for Financial Market Infrastructures (PFMls). Modelling key elements of these standards,
the chapter demonstrates the importance of a flexible regulatory framework that achieves the desired
level of stability while allowing the mix of risk controls applied by each CCP to vary according to its
particular incentives and operating environment. The chapter goes on to discuss the emerging trends
towards competition and interoperability between CCPs and cross-border provision of clearing services,
and consider the implications for CCPs’ risk management choices.
Chapter 15
Mind the Gap: Undercollateralization in the Global and Canadian OTCD Markets................304
Jorge Cruz Lopez, Bank of Canada, Canada
We provide estimates of the collateral gap in the global and Canadian OTCD markets. Using the latest
avai lable data as of December 31 2011, it is estimated that current exposures after netting are $3,9T globally
and $71B in Canada. The estimated amount of available collateral after correcting for re-hypothecation
in each market is $767B and $48B, respectively. Thence, the current gap in variation margins stands
at $3.1T globally and at S23B in Canada. The initial margin that would be required to centrally clear
OTCD is estimated at $4T globally and $104B in Canada. The rate of collateralization has increased
globally, but specially in Canada. In 2001, 92% of global and 72% of Canadian current exposures were
undercollateralized; currently, the figures are 80% for global and 30% for Canadian current exposures.
The high level of collateralization and the lack of re-hypothecation could make the Canadian market
more resilient to systemic shocks. Further, it is likely that the upcoming regulatory reforms will have a
more subtle impact on Canadian banks than on banks elsewhere.
Chapter 16
The Changing Role of CSDs in the Post-Trade Industry in Europe Impact of the CSD-Regulation
and T2S.....................................................................................317
Ariena van Wageningen, De Nederlandsche Bank, The Netherlands
In this chapter Central Securities Depositories (CSDs) are analyzed, in playing an essential role in the
European post-trade market. The background is presented, describing their services both on domestic
level, and in a cross border context in Europe. CSDs have introduced (self) regulation and this chapter
outlines the efforts they are making to remove existing barriers in a still fragmented European post-trade
market, in order to achieve more efficiency. Particular attention is given to the changes and challenges the
CSDs face with respect to the Central Security Depository Regulation (CSDR) and Target2-Securities
(T2S), which is an initiative of the Eurosystem and is expected to go live as of June 2015. T2S will
connect CSDs within the European area, performing as a cross border securities settlement engine.
Chapter 17
Central Securities Depositories and Securities Clearing and Settlement: Business Practice and
Public Policy Concerns.....................................................................334
Alistair Milne, Loughborough University, UK
This chapter describes the emergence of national and international central securities depositories (CSDs)
and the systems of tiered account-based security ownership they support. It examines clearing and
settlement risks, including principal risk now largely removed by DVP, and liquidity risk reduced but
far from fully removed by multilateral netting. Liquidity demand and the complexity of some underlying
transactions results in a surprisingly high volume of postponed settlements (trade fails). Systems of clearing
and settlement were resilient during the crisis of 2008, but the remarkable complexity of these networks
suggests two policy concerns that need further examination. Problems in clearing and settlement could
still magnify or transmit systemic financial risk in a future crisis, if firms do not again obtain public sector
support; and the sheer complexity of clearing and settlement arrangements may both create operational
risks and heighten barriers to entry, hence reducing competition and raising costs to investors.
Chapter 18
Undressing the Global Derivatives Market: Trade Repositories: Past, Present and Future.....359
Marco Massarenti, European Central Bank, Germany
Trade repositories are market infrastructures collecting and maintaining the records of over-the-counter
(OTC) derivatives transactions for a large number of asset classes. They have been under the spotlight
since the G20 meeting in Pittsburgh and have recently gained very high importance in the field. Reporting
obligations have started or will be coming into force in the near future worldwide. The purpose of this
chapter is to describe the history and landscape of trade repositories, to outline advantages of having
these market infrastructures in place and to briefly review the literature available based on data stemming
from trade repositories.
Compilation of References...........................................................369
About the Contributors..............................................................401
Index
408
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| genre | 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| id | DE-604.BV042726277 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T17:18:19Z |
| institution | BVB |
| isbn | 9781466687455 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028157381 |
| oclc_num | 926104108 |
| open_access_boolean | |
| owner | DE-521 DE-355 DE-BY-UBR DE-739 |
| owner_facet | DE-521 DE-355 DE-BY-UBR DE-739 |
| physical | XXVI, 410 Seiten Diagramme |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Business Science Refernce |
| record_format | marc |
| series2 | Advences in finance, accounting, and economics (AFAE) book series Premier reference source |
| spellingShingle | Analyzing the economics of financial market infrastructures Kreditmarkt (DE-588)4073788-3 gnd Regulierung (DE-588)4201190-5 gnd Infrastruktur (DE-588)4026944-9 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4201190-5 (DE-588)4026944-9 (DE-588)4143413-4 |
| title | Analyzing the economics of financial market infrastructures |
| title_auth | Analyzing the economics of financial market infrastructures |
| title_exact_search | Analyzing the economics of financial market infrastructures |
| title_full | Analyzing the economics of financial market infrastructures Martin Diehl, Biliana Alexandrova-Kabadjova, Richard Heuver, Serafín Martínez-Jaramillo |
| title_fullStr | Analyzing the economics of financial market infrastructures Martin Diehl, Biliana Alexandrova-Kabadjova, Richard Heuver, Serafín Martínez-Jaramillo |
| title_full_unstemmed | Analyzing the economics of financial market infrastructures Martin Diehl, Biliana Alexandrova-Kabadjova, Richard Heuver, Serafín Martínez-Jaramillo |
| title_short | Analyzing the economics of financial market infrastructures |
| title_sort | analyzing the economics of financial market infrastructures |
| topic | Kreditmarkt (DE-588)4073788-3 gnd Regulierung (DE-588)4201190-5 gnd Infrastruktur (DE-588)4026944-9 gnd |
| topic_facet | Kreditmarkt Regulierung Infrastruktur Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028157381&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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