Today, in the light of the financial crisis, it has become part of the political agenda to strengthen payment, clearing and settlement systems, as well as repositories for data on the trades they process. The Journal of Financial Market Infrastructures is the first journal to focus on this exciting and dynamic sector, and aims to bring together a community of contributors from the constituent sectors to analyse financial market infrastructures to further the development of this emerging field.
The journal provides a balanced representation of academic and practitioner-focused papers which are dedicated to analysing operational and regulatory effectiveness and efficiency of payment, clearing, settlement, trade repository systems; and the risks they manage, transmit and create.
The Journal of Financial Market Infrastructures considers submissions in the form of technical papers and policy-oriented papers (forum discussions), on topics including, but not limited to:
- Systemically Important Payment Systems
- Securities Settlement Systems
- Central Counterparties
- Central Securities Depositories
- Trade Repositories
- Settlement Risk and other FMI-related risks including interdependencies
- Infrastructure-Related Systemic Risk
- Network analysis of an FMI
- Critical Service Providers and non-bank payment service providers
- Correspondent banking
- Retail Payment Infrastructures (remote and Point-Of-Sale, ATM, virtual currencies)
- FMI Liquidity and Collateral Management
- Exchanges and Multilateral Trading Platforms
- Oversight and Supervision of Financial Market Infrastructures
- FMI-related standardization and legislation
Abstracting and Indexing: Clarivate Analytics Emerging Sources Citation Index; EconLit; EconBiz; and Cabell’s Directory
In this paper, payment profiles for participants are identified by applying clustering techniques to TARGET2 data.
Identification of interbank loans and interest rates from interbank payments: a reliability assessment
The authors investigate the reliability of the “Furfine filter” often used to identify interbank loans and interest rates from interbank payments settled at central banks.
The authors analyze the role of auctions in managing the default of a central counterparty’s clearing member.
This paper examines the role of supervisory stress testing of central counterparties (CCPs). A key message is that the design of supervisory stress tests (SSTs) should be tailored to CCPs’ roles, risk profiles and financial structures.
In this paper, the authors establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit…
In this paper, the rules of selected major CCPs (LCH, CME, Eurex and ICE) are reviewed for both their end-of-waterfall procedures and the rights granted to clearing members in end-of-waterfall scenarios.
Funding and credit risk with locally elliptical portfolio processes: an application to central counterparties
In this paper, the authors extend the scaling approach of Andersen et al (2017a) from a model driven by Brownian motion to one driven by an arbitrary isotropic Lévy process.
In this paper, the authors aim to provide an interpretation of the legal issue of settlement finality in the context of proof-of-work distributed ledger technology, such as the Bitcoin network.
This paper investigates whether the substantial focus placed on the procyclicality of initial margin reflects both the original concerns at the time of the 2007-8 financial crisis and the intrinsic 'modus operandi' of CCPs.
Procyclicality and risk-based access: valuing the embedded credit default swap of employing bilateral credit limits in financial market infrastructures
In light of institutional knowledge, this paper presents the similarities between the survivor-pay component (Tranche 2) of the Canadian large-value transfer system (LVTS) and credit default swap (CDS) contracts.
What kind of payments settle in a real time gross settlement system? The case of Norges Bank’s settlement system (NBO)
A good understanding of the kinds of payments that settle in a central bank real time gross settlement (RTGS) system is useful for both overseers and operators, but no study exists that attempts to systematically categorize all payments settling in an…
In this paper, the authors develop a conceptual framework to examine whether the regulatory changes since the Pittsburgh Summit could be a catalyst for reconsidering the structure of clearing houses.
This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP.
The centrally cleared interest rate derivatives market: how are clients changing the risk perspective?
This paper analyzes counterparty relationships within both direct (house) and client clearing in the interest rate derivatives market in the European Union.
In this paper, the authors compare the data from three major clearing houses concerning tail losses and member concentration.
In this paper, the author looks at what issues are created through linguistic variation when users of a language or languages attempt to ensure that there is a shared conceptual understanding in the financial domain.
This paper studies the microstructure of the short-term uncollateralized Danish interbank market before, during and after the financial crisis, and into an era of negative interest rates.
This paper analyzes the cost of putting aside capital as skin in the game (SITG).
In this paper, the authors quantify the potential direct economic benefits to market participants and increased risks to CCPs of moving bilateral repo transactions between US dealers and their nondealer clients to CCPs.
Empirical assessments of the Reserve Bank of India’s policy measures on payment and settlement systems in India
This paper empirically evaluates the effects of policy measures used by the Reserve Bank of India (RBI) on interbank payment and settlement systems in that country.