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Computational Methods in Financial Engineering
This paper compares the so-called gross and net architectures for securities settlement. It studies the settlement risk arising from exogenous operational delays and compares the importance of settlement failures under the two architectures, as a function of the length of the settlement cycle and of different market conditions. Under both architectures, settlement failures are non-monotonically related to the length of settlement cycle. There is no evidence that continuous time settlementdoi:10.1007/978-3-540-77958-2_15 fatcat:yoaothh7ffeo7datyrdndskiuq