Distributed ledger technology (DLT) is a database architecture which enables the keeping and sharing of records in a distributed and decentralized way, while ensuring its integrity through the use of consensus-based validation protocols and cryptographic signatures. In principle, DLT has the...

Distributed ledger technology (DLT) is a database architecture which enables the keeping and sharing of records in a distributed and decentralized way, while ensuring its integrity through the use of consensus-based validation protocols and cryptographic signatures. In principle, DLT has 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...

In March 2020, the U.S. security market experienced heightened volatility induced by the COVID-19 pandemic, and market-wide circuit breakers were triggered on four occasions. Relying on high-frequency intraday trade and quote data, we investigate the market conditions around these trading halts...

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...

The majority of bond trading around the world takes place in over-the-counter (OTC) markets where liquidity is provided by a relatively small number of financial institutions (dealers), who use their balance sheets to intermediate trades. This is in stark contrast to stock markets, where trading...

Financial institutions have for many years sought measures which cogently summarise the diverse market risks in portfolios of financial instruments. This quest led institutions to develop Value-at-Risk (VaR) models for their trading portfolios in the 1990s. Subsequently, so-called filtered...