Journal of Financial Market Infrastructures
ISSN:
2049-5404 (print)
2049-5412 (online)
Editor-in-chief: Manmohan Singh
Deputy Editor: Jorge Cruz Lopez
About this journal
The economic and technological landscape of financial market infrastructures (FMIs) is rapidly evolving and changing how we conduct transactions globally. Efforts to renew and strengthen payment, clearing and settlement systems have been undertaken internationally and the role of new technologies, including digital money, CBDCs, blockchains and smart contracts, is being continuously reassessed.
The Journal of Financial Market Infrastructures was the first journal to specialize in publishing peer-reviewed research in FMIs. Today, over a decade after its first publication, the journal continues to offer its readers a selection of the best ideas, developments and analysis in this dynamic and exciting sector of the economy.
The Journal of Financial Market Infrastructures considers submissions in the form of technical papers and policy-oriented papers (forum discussions) from academics and practitioners on topics including, but not limited to:
- Payment and settlement systems
- Digital money (including CBDCs) and central bank operations
- Trade repositories, central counterparties (CCPs) and central securities depositories (CSDs)
- Risk management of FMIs (including liquidity, market, counterparty, operational and other risks).
- Correspondent banking and network analysis of FMIs
- Non-bank payment service providers and access to central bank payment rails
- Exchanges and multilateral trading platforms
- Regulation, oversight and supervision of FMIs
- Tokenized deposits and stablecoins
- New technologies for FMIs, including distributed ledger technologies (DLTs), machine learning (ML) and artificial intelligence (AI)
Abstracting and Indexing: Clarivate Analytics Emerging Sources Citation Index; EconLit; EconBiz; and Cabell’s Directory
Latest papers
Transmission of cyber risk through the Canadian wholesale payment system
The authors investigate how a paralyzing cyber attack on one or more banks would spread to other banks through the Canadian wholesale payment system and simulate various scenarios, evaluating the total disruption to the payment system.
Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Using the vine copula, the authors put forward a nonparametric means to generate and/or validate hypothetical stress scenarios.
Quantifying the economic benefits of payments modernization: the case of Canada’s large-value payment system
The authors analyze the economic benefits of the replacement of Canada’s large-value transfer system (LVTS) with the new system, Lynx.
Mitigating margin procyclicality: the effectiveness of anti-procyclicality measures during the Covid-19 stress event
This paper analyzes the effectiveness of APC measures implemented by central counterparties for clearing member and client margins, with effectiveness sensitive to the details of calibration and type of portfolios to which the measure is applied.
Payment coordination and liquidity efficiency in wholesale payments systems
The authors investigate the two settlement mechanisms found in the Lynx payments system, finding that the highest liquidity efficiency is achieved if all payments were sent to the mechanism allowing offsetting.
Falling use of cash and population age structure
The authors investigate the reduction of cash use across 25 countries, using three means of measurement and argue that one method is more appropriate than the others.
“Closing the gaps: moving forward on tail risks in central clearing”: a central bank of issue perspective
The authors explain the priorities for CCP recovery and resolution from a central bank of issue perspective, focussing on structural barriers and how gaps could be overcome.
Do DEXs work? Using Uniswap V2 to explore the effectiveness of decentralized exchanges
The authors investigate the effectiveness of the Ether–Tether liquidity pool on the Uniswap V2 and note that cointegration between the price set by the liquidity pool and its price elsewhere is a necessary condition of effectiveness.
Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses: a Monte Carlo investigation
The authors provide a quantitative comparison for evaluating the impact of collecting margins in a gross-versus-net system with the margin period of risk (MPOR) set to between one and five days.
Procyclicality of central counterparty margin models: systemic problems need systemic approaches
In this paper the author argues that the focus on initial margin models is misplaced, and the reasons for this are illustrated by empirically testing the performance of standard initial margin models during the March 2020 events.
The customer settlement risk externality at US securities central counterparties
This paper highlights an externality in the clearing of customer securities trades, and it examines the potential benefits and costs of alternative clearing approaches.
Climate risk and central counterparty risk management
In this paper, the European Association of CCP Clearing Houses discusses several aspects of climate risk, including how climate risk is currently integrated into central counterparty stress testing, the metrics within climate risk and how central…
A cost–benefit analysis of anti-procyclicality: analyzing approaches to procyclicality reduction in central counterparty initial margin models
In this paper, the authors suggest how margin setters and policy makers might measure procyclicality and target particular levels of it by recalibrating parameters in a margin model to reduce its procyclicality or by applying an anti-procyclicality tool.
What drives Bitcoin fees? Using SegWit to assess Bitcoin’s long-run sustainability
In this paper the authors use block-level data from the Bitcoin blockchain to estimate the impact of congestion and the US dollar price on fee rates.
Central counterparty capital and nondefault losses
This paper analyses the components of central counterparty (CCP) capital requirements and makes several observations on the potential for loss absorption.
Credit default swap market retrospective: observations from the 2008–9 financial crisis and the onset of the Covid-19 pandemic
In this paper credit market fluctuations, measured by the levels of the main and most heavily traded index instruments, are analyzed and compared with the analogous index realizations during the 2008–9 financial crisis.
Monitoring intraday liquidity risks in a real-time gross settlement system
This paper proposes an intraday liquidity risk indicator (LRI) for each participant in a real-time gross settlement system (RTGS).
Measure twice before you cut: differences in Furfine-type algorithm implementations
This study focuses on the practical implementation aspects of “Furfine-type” algorithms used to identify money market loans from payments data.
Retail payments and financial inclusion in Latin America and the Caribbean: identifying gaps and opportunities
The payment aspects of financial inclusion (PAFI) framework, set up by the Committee on Payments and Market Infrastructures and the World Bank in 2016, recommends a set of actions to spur financial inclusion by means of improvements in the retail payment…
Clearing away after Brexit?
This paper analyzes, from a legal perspective, the new framework, the roles and responsibilities of the European Central Bank, ESMA and the European Commission, and the possible outcomes for UK CCPs once Brexit is complete.
