Measuring the responsiveness of a market risk model is relevant whenever the focus is on evaluating if a model is over- or under-reacting to changes in market conditions. Such is the case, for example, in the discussion about procyclical effects of the initial margin models used both in the...

In the context of securities settlement, a trade is said to fail if on the settlement date either the seller does not deliver the securities or the buyer does not deliver funds. Settlement fails may have consequences for the parties directly involved and for the system as a whole. Chains of...