InteDelta: A Survey Of The Measurement And Management Of Settlement Risk

The risk that arises from the settlement of FX and other transactions has long been a concern of risk managers, supervisors and central banks. Settlement risk was first brought into focus following the failure of Cologne based Bank Herstatt in 1974. On the day of its failure a number of banks had entered into FX trades with Bank Herstatt converting Deutsche Marks into US Dollars. The Deutsche Marks were delivered but the banks never received their Dollars. The BIS has issued a number of

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