Settlement cycle analysis
Changes to settlement cycles are analysed for their effects on counterparty exposure, margin, funding needs and the time available to match, allocate and correct trades.
GRA · Capital Markets Nexus
空间金融资本与危害、风险暴露和转型的交汇之处
市场基础设施技术
Payment and financial market technology covers the trading platforms, central counterparties, depositories and payment 系统 through which capital markets operate. Analysis focuses on settlement risk, liquidity needs, operational resilience and the dependencies that let a technical failure become a market event.
02申请
What payment and financial market technology does here.
Payment and financial market technology covers the 系统 that clear and settle transactions and support trading. Their continuity is essential for economic activity and crisis response. In capital markets and investment and financial stability, payments analysis shows how operational outages or cyber events can freeze liquidity across the economy. It informs resilience standards and contingency arrangements. The canonical description is on STEM Commons.
Liquidity simulation for infrastructures
Payment and settlement flows are simulated under participant defaults or outages to estimate liquidity needs and the queues that would form.
Operational resilience review
恢复时间 objectives, failover arrangements and third-party dependencies of infrastructures are reviewed against scenarios of cyber incidents and provider failures.
控制措施
- 外部资产下降
- 2.0%
- 杠杆率（资产与权益之比）
- 10 倍
- 银行间资产占比
- 10%
- 银行间债权的回收
- 40%
- 体系内的银行
- 20
- 核心银行
- 占银行的 20%
读数
- 初始冲击造成的权益损失
- 18.0%
- 传染后的权益损失
- 45.0%
- 传染新增（DebtRank）
- 27.0 个点
- 违约银行
- 0
数字、方法与来源
| 轮次 | 系统权益损失（%） | 违约银行 |
|---|---|---|
| 0 | 18.00 | 0 |
| 1 | 28.80 | 0 |
| 2 | 35.28 | 0 |
| 3 | 39.17 | 0 |
| 4 | 41.50 | 0 |
| 5 | 42.90 | 0 |
| 6 | 43.74 | 0 |
| 7 | 44.24 | 0 |
| 8 | 44.55 | 0 |
| 9 | 44.73 | 0 |
| 10 | 44.84 | 0 |
| 11 | 44.90 | 0 |
| 12 | 44.94 | 0 |
| 13 | 44.96 | 0 |
| 14 | 44.98 | 0 |
| 15 | 44.99 | 0 |
| 16 | 44.99 | 0 |
| 17 | 45.00 | 0 |
| 18 | 45.00 | 0 |
| 19 | 45.00 | 0 |
| 20 | 45.00 | 0 |
| 21 | 45.00 | 0 |
| 22 | 45.00 | 0 |
| 23 | 45.00 | 0 |
| 24 | 45.00 | 0 |
| 25 | 45.00 | 0 |
| 26 | 45.00 | 0 |
| 27 | 45.00 | 0 |
| 28 | 45.00 | 0 |
| 29 | 45.00 | 0 |
| 30 | 45.00 | 0 |
方法
- DebtRank Battiston 等（2012），Scientific Reports 2:541
- 差异化 DebtRank Bardoscia and others (2015), PLOS ONE 10
- 金融网络中的传染 Gai and Kapadia (2010), Proc. R. Soc. A 466
- 金融网络中的清算 Eisenberg 和 Noe（2001），Management Science 47
- 不确定性扇形图（参数蒙特卡罗） Spiegelhalter, Pearson and Short (2011), Visualising uncertainty about the future, Science 333
- 单因素敏感性（龙卷风图） Saltelli and others (2008), Global Sensitivity Analysis: The Primer, Wiley
数据
No observed data enters this model: it runs on the teaching values set by the controls, to be replaced with a programme’s own evidence.
贯穿六大支柱，由 Nexus Consortium 牵头
04数据
该方法使用的输入。
Datasets and records used by payment and financial market technology on this platform, with the role each plays and the label its values carry. Sources are listed in 来源登记册.
| 数据 | 角色 | 标签 |
|---|---|---|
| CPMI payment and FMI statistics | System values and volumes | 已发布统计 |
| CCP public quantitative disclosures | Liquidity resources and margin flows | 已报告 |
| Settlement fails reports | Settlement efficiency | 已发布统计 |
| Infrastructure incident disclosures | Operational failure analysis | 已报告 |
05风险暴露、损失与资本
What market infrastructure technology means for exposure, loss and capital.
风险官、监管者或财政部会要求的风险暴露、损失、情景和资本视图，以及它们据以报告的框架。结构遵循监管和精算实务。数值为说明性：绝非价格、评级或建议。
资本、偿付能力和财政指标
The indicators a risk officer, supervisor or ministry of finance reads first on market infrastructure technology.
| 指标 | 单位 | 谁来阅读 | 框架 |
|---|---|---|---|
| CET1 比率 | 占风险加权资产的百分比 | 银行、监管机构 | 巴塞尔框架 |
| 流动性覆盖率 | 压力流出的 % | 银行、中央银行 | 巴塞尔框架 |
| 偿付能力充足率 | 占偿付能力资本要求的百分比 | 保险公司、监管机构 | IAIS《保险核心原则》 |
| 综合成本率 | 占已赚保费的百分比 | 保险公司 | 精算实践 |
| 保护缺口 | 未投保部分占经济损失的比例 | 保险公司、财政部 | 已公布的损失统计 |
| 公共债务 | 占 GDP 的 % | 财政部、IMF | 债务可持续性框架 |
| 总融资需求 | 每年占 GDP 的 % | 财政部、投资者 | 债务可持续性框架 |
NGFS 气候情景 · 央行与监管机构绿色金融网络IFRS S2 气候相关披露 · ISSBTCFD 建议 · 金融稳定理事会 TCFD有效管理气候相关金融风险的原则 · 巴塞尔银行监管委员会
06验证
结果如何核查。
系统 are tested through failover exercises, liquidity simulations and supervisory oversight. Reconciliation checks the integrity of settled positions.
| 核查 | 如何开展 |
|---|---|
| 对账 | Simulated flows are reconciled with reported settlement totals before any scenario is run |
| Scenario review against the PFMI | Scenarios are checked against the extreme but plausible conditions the PFMI require |
| Behavioural sensitivity | Results are tested for changes in participant behaviour such as delayed payments or hoarding of liquidity |
Interdependence among participants and third-party providers can produce unexpected failures. Simulations may not capture behavioural responses under stress.
08管理责任
由谁维护该方法。
支付与市场基础设施 stewards payment and financial market technology for the Consortium and reviews how it is applied across platforms.
10问题
问题与解答。
What are the limits of payment and financial market technology in this field?
Interdependence among participants and third-party providers can produce unexpected failures. Simulations may not capture behavioural responses under stress.
结果如何核查？
Systems are tested through failover exercises, liquidity simulations and supervisory oversight. Reconciliation checks the integrity of settled positions.
本页面上的数值是真实的吗？
The data names, roles and checks are real descriptions of practice. The canvas shows a design of the method’s use, not a run; no result is reported here.
该方法还应用于何处？
维持社会运转的各个 规范方法页面 列出应用该方法的每个平台。
报告贡献
从本页贡献证据。
报告 is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.
全球风险联盟（Global Risks Alliance）Capital Markets Nexus全球部门风险与韧性情景与压力测试
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法律
法律文件。
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