Modeling and Design of Payment, Clearing and Settlement Systems

 

ABSTRACT:

These lectures will offer an introduction into the modeling of payment systems, and the design of clearing and settlement solutions. We will model payment systems as financial networks. We will first focus on central clearing and examine the effects of multilateral clearing via a central clearing counterparty (CCP) from an ex ante and ex post perspective. We will study a variety of CCP designs and compare the aggregate surplus, and the economic utility for all parties, as well as the expected shortfall on the end users. We will study the game theory behind   the CCP's equity, guarantee fund policies and membership policy. In the last lecture we will study potential blockchain solutions for clearing and settlement.

 
Lecture 1.  PAYMENT SYSTEMS, FINANCIAL NETWORKS AND CENTRAL CLEARING
(Thursday February 15, 10:00 to 12:00, Seminar Room, Ground Floor, Weeks Building Google Map here
 
Lecture 2. CENTRAL CLEARING DESIGN 
(Thursday February 22, 10:00 to 12:00, Seminar Room, Ground Floor, Weeks Building Google Map here

Lecture 3. BLOCKCHAIN SOLUTIONS FOR CLEARING AND SETTLEMENT
(Thursday March 8, 14:00 to 16:00, Seminar Room, Ground Floor, Weeks Building Google Map here

 

References

  1. Distributed ledger technology in payments, clearing, and settlement (2016), Mills et al., Finance and Economics Discussion Series FED Washington D.C.
  2. On the management of central branch risk networks (2017), F. Avram and A. Minca, Advances in applied probability.
  3. Smart settlement (2017), M.Khapko and M. Zoican, Working paper
  4. Systemic Risk and Central Clearing Counterparty Design (2017), H. Amini, D. Filipovic and A. Minca, Working paper.
  5.  To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting (2015), H. Amini, D. Filipovic and A. Minca, Operations Research