This paper studies the potential impact on securities settlement systems (SSSs) of a major market disruption, caused by the default of the largest player. A multiperiod, multisecurity model with intraday credit is used to simulate direct and second-round settlement failures triggered by the...

This paper studies the potential impact on securities settlement systems (SSSs) of a major market disruption, caused by the default of the largest player. A multiperiod, multisecurity model with intraday credit is used to simulate direct and second-round settlement failures triggered by the...

This paper studies the potential impact on securities settlement systems (SSSs) of a major market disruption, caused by the default of the largest player. A multiperiod, multisecurity model with intraday credit is used to simulate direct and second-round settlement failures triggered by the...

This paper studies the potential impact on securities settlement systems (SSSs) of a major market disruption, caused by the default of the largest player. A multi-period, multi-security model with intraday credit is used to simulate direct and second-round settlement failures triggered by the...

This paper analyses two aspects of banking crises: the choices that banks make to passively roll over loans in default versus actively pursuing their claims; and choices by regulators to ‘punish’ passive and insolvent banks versus rescuing them. Banks may choose to roll over loans in order...