Journal of Financial Market Infrastructures
ISSN:
2049-5404 (print)
2049-5412 (online)
Editor-in-chief: Ron Berndsen
About this journal
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
Latest papers
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.
The trade-off between liquidity risk and counterparty risk in money market networks
The authors examine how liquidity is exchanged in different types of Colombian money market networks (ie, secured, unsecured and the central bank’s repurchase networks) as registered in the local financial market infrastructure.
A descriptive analysis of the client clearing network in the European derivatives landscape
The authors present the findings of a detailed descriptive analysis of client clearing activity for derivatives in the euro area, as well as that of clearing members more broadly.
An empirical analysis of bill payment choices
The aim of this paper is to examine which payment instruments Canadians use for paying bills and to assess the factors driving their bill payment behavior.
Predicting payment migration in Canada
The authors employ historical LVTS and ACSS data and use the discrete choice demand estimation approach to uncover end users’ and financial institutions’ preferences when deciding which payment instruments and payment systems, respectively, to use.
Using payments data to nowcast macroeconomic variables during the onset of Covid-19
Economic prediction during a crisis is challenging because of the unprecedented economic impact of such an event, which increases the unreliability of traditionally used linear models that employ lagged data. The authors help to address this challenge by…
From use cases to a big data benchmarking framework in clearing houses and exchanges
In this paper, we propose a conceptual framework that links the technical and business benchmarks in the domain of clearing houses and securities exchanges.
How much liquidity would a liquidity-saving mechanism save if a liquidity-saving mechanism could save liquidity? A simulation approach for Canada’s large-value payment system
This paper investigates how much liquidity requirements can be reduced with the implementation of different LSMs in the Financial Network Analytics simulation engine using LVTS transaction data from 2018.
Brazil’s BM&F in 1999: a central counterparty near-failure case?
The authors argue that, despite some concerns on systemic risk expressed by high-level Banco Central do Brasil officers, the (potential) defaults of Marka and FonteCindam would not have been sufficient to lead BM&F to a failure.
Is there anybody out there? Detecting operational outages from Large Value Transfer System transaction data
This paper develops a method to identify operational outages of participants in the Canadian Large Value Transfer System (LVTS).
