{"title":"Construction of hypothetical scenarios for central counterparty stress tests using vine copulas","authors":"Aniket Bhanu, V. Virmani","doi":"10.21314/jfmi.2023.002","DOIUrl":"https://doi.org/10.21314/jfmi.2023.002","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82660439","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The customer settlement risk externality at US securities central counterparties","authors":"Sam Schulhofer-Wohl","doi":"10.21314/jfmi.2022.001","DOIUrl":"https://doi.org/10.21314/jfmi.2022.001","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82797930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Procyclicality of central counterparty margin models: systemic problems need systemic approaches","authors":"Pedro Gurrola-Perez","doi":"10.21314/jfmi.2022.002","DOIUrl":"https://doi.org/10.21314/jfmi.2022.002","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77540081","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper we explore opportunities for the post-trade industry to standardize and simplify in order to significantly increase efficiency and reduce costs. We start by summarizing relevant industry problems (inconsistent processes, inconsistent data and duplicated data) and then present the corresponding potential industry solutions (process standardization, data standardization and authoritative data stores). This includes transitioning to the International Swaps and Derivatives Association Common Domain Model (CDM) as a standard set of digital representations for the business events and processes throughout the life cycle of a trade. We then explore how financial market infrastructures could operate authoritative data stores that make CDM business events available to broker-dealers, considering both traditional centralized models and potential decentralized models. For both types of model, there are many possible adoption scenarios (depending on each broker-dealer’s degree of integration with the authoritative data store and usage of the CDM), and we identify some of the key scenarios.
{"title":"Industry adoption scenarios for authoritative data stores using the International Swaps and Derivatives Association Common Domain Model","authors":"Aishwarya Nair, L. Braine","doi":"10.21314/jfmi.2021.015","DOIUrl":"https://doi.org/10.21314/jfmi.2021.015","url":null,"abstract":"In this paper we explore opportunities for the post-trade industry to standardize and simplify in order to significantly increase efficiency and reduce costs. We start by summarizing relevant industry problems (inconsistent processes, inconsistent data and duplicated data) and then present the corresponding potential industry solutions (process standardization, data standardization and authoritative data stores). This includes transitioning to the International Swaps and Derivatives Association Common Domain Model (CDM) as a standard set of digital representations for the business events and processes throughout the life cycle of a trade. We then explore how financial market infrastructures could operate authoritative data stores that make CDM business events available to broker-dealers, considering both traditional centralized models and potential decentralized models. For both types of model, there are many possible adoption scenarios (depending on each broker-dealer’s degree of integration with the authoritative data store and usage of the CDM), and we identify some of the key scenarios.","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67704969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Falling use of cash and population age structure","authors":"Tanai Khiaonarong, David Humphrey","doi":"10.21314/jfmi.2022.005","DOIUrl":"https://doi.org/10.21314/jfmi.2022.005","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79404886","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Mitigating margin procyclicality: the effectiveness of anti-procyclicality measures during the Covid-19 stress event","authors":"Argyris Kahros, Marco Weissler","doi":"10.21314/jfmi.2022.009","DOIUrl":"https://doi.org/10.21314/jfmi.2022.009","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85813767","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"“Closing the gaps: moving forward on tail risks in central clearing”: a central bank of issue perspective","authors":"Klaus Löber, C. Freund","doi":"10.21314/jfmi.2022.006","DOIUrl":"https://doi.org/10.21314/jfmi.2022.006","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79509184","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Quantifying the economic benefits of payments modernization: the case of Canada’s large-value payment system","authors":"Neville Arjani, Fuchun Li, Zhentong Lu","doi":"10.21314/jfmi.2022.008","DOIUrl":"https://doi.org/10.21314/jfmi.2022.008","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77877453","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A cost–benefit analysis of anti-procyclicality: analyzing approaches to procyclicality reduction in central counterparty initial margin models","authors":"David Murphy, Nicholas Vause","doi":"10.21314/jfmi.2021.013","DOIUrl":"https://doi.org/10.21314/jfmi.2021.013","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67704907","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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