Pattern of Factors Affecting on Brokers Settlement Risk in Central Securities Deposit of Iran
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Pattern of Factors Affecting on Brokers Settlement Risk in Central Securities Deposit of Iran

Document Type : Original Article

Authors
1 FACULTY OF MANAGEMENT AND ACCOUNTING OF ALLAME TABATABAI UNIVERSITY
2 Assistant Professor of Finance and Banking, Faculty of Management and Accounting, Allameh Tabataba'i University
3 Assistant Professor, Department of Finance and Banking, Allameh Tabatabai University
Abstract
Abstract
Clearing houses are considered a key element of capital markets and one of the most important risks associated with clearing houses is the risk of brokers defaulting on clearing transactions. Therefore, this study with the aim of identifying the factors affecting this risk tries to provide a model to identify and prioritize these factors. For this purpose, after studying the available resources, using interviews with experts and analyzing its content, the relevant conceptual model was prepared and then the model was validated by collecting the opinions of experts through a questionnaire and confirmatory factor analysis. These factors were also prioritized based on Friedman test. Thus, based on the analysis, the factors affecting brokers' settlement risk are divided into four dimensions: broker performance (the most important dimension), interactions and contracts between brokers and banks, customer performance, and infrastructure and market variables, which include a total of 10 components. Issues related to the weakness of the legal infrastructure are the most important of these components.

Keywords: Settlement Risk, Clearing House, Exchange Brokers.
Keywords

آقائی فر، غزل. (1398). شناسایی و اولویت بندی عوامل موثر بر ریسک عملیاتی در بانک کشاورزی شهر اصفهان. دانشکده علوم اداری و اقتصادی، دانشگاه شهید اشرفی اصفهانی(ره)، اصفهان.
اسفیدانی، محمد رحیم و محسنین، شهریار. (1392). معادلات ساختاری مبتنی بر رویکرد حداقل مربعات جزئی به کمک نرم افزار Smart-Pls. موسسه کتاب مهربان نشر.
آذر، عادل و مومنی، منصور. (1393). آمار و کاربرد آن در مدیریت. انتشارات سمت.
پاسبان، محمدرضا و بدیع صنایع اصفهانی، امین. (1397). بررسی تطبیقی زمان ایفاء تعهدات و تسویه معاملات سهام بورسی در اصول و استانداردهای سازمان بین‌المللی کمیسیون های اوراق بهادار (IOSCO) و نظام حقوقی ایران.‎ فصلنامه بورس اوراق بهادار. 11(41): 67-26.
پیمانی، مسلم. (1399). فلسفه مالی. فلسفه علم، 10(19), 55-77.
حسین زاده، فاطمه. (1395). بررسی تضامین تسویه در بورس کالا. دانشکده حقوق، دانشگاه قم، قم.
حیدرعلی، هومن. (1384). مدل یابی معادلات ساختاری با کاربرد نرم افزار لیزرل. انتشارات سمت. چاپ اول.
رادپور، میثم و عبده تبریزی، حسین. (1388). اندازه گیری و مدیریت ریسک بازار: رویکرد ارزش در معرض ریسک. انتشارات پیشبرد.
راعی، رضا و سعیدی، علی. (1385).مبانی مهندسی مالی و مدیریت ریسک. انتشارات سمت. چاپ دوم پاییز.
سپهردوست، حمید و برجیسیان، عادل. (1393). برآورد احتمال نکول تسهیلات پرداختی بانک با استفاده از رگرسیون لاجیت. برنامه ریزی و بودجه.19(1): 52-31.‎
سمیعی، صدیقه. (1390). بررسی رابطه حقوقی کارگزار مشتری (اصیل) در بازار بورس اوراق بهادار. دانشکده الهیات و علوم انسانی، دانشگاه پیام نور، تهران.
صالح‌آبادی، علی، علی محمدی، میثم و مرزانی، سیدجواد. (1395). رتبه‌بندی شرکت‌های کارگزاری بورس اوراق بهادار تهران بر اساس معیارهای ریسک تسویه صندوق تضمین تسویه شرکت سپرده گذاری مرکزی اوراق بهادار و تسویه وجوه. دانش سرمایه‌گذاری. 5(20): 38-25.
محسنی، محمدرضا، خدابخش، محسن و سیاهکازاده، سجاد. (1395). جستارهایی ازپیش تا پس معاملات : مجموعه مقالات تخصصی شرکت سپرده‌گذاری مرکزی اوراق بهادار و تسویه وجوه (سمات). انتشارات نزهت.
معبدی، دانا. (1393). مبانی، ساختار و عملکرد شرکت سپرده گذاری مرکزی اوراق بهادار و تسویه وجوه با تاکید بر نهاد پایاپای، صندوق تضمین و نظام ودیعه. دانشکده حقوق، دانشگاه علم و فرهنگ، تهران.
موسویان، سیدعباس و معصومی‌نیا، غلام علی. (1389). ابزارهای مشتقه بررسی فقهی و اقتصادی. تهران: پژوهشگاه فرهنگ و اندیشه اسلامی.
ناصری، مهدی. (1396). بررسی تطبیقی اتاق پایاپای در معاملات بورس کالا. دانشکده حقوق و علوم سیاسی، دانشگاه خوارزمی، تهران.
Aghaeefar, Ghazal. (2018). Identifying and prioritizing factors affecting operational risk in Isfahan Agricultural Bank. Faculty of Administrative and Economic Sciences, Shahid Ashrafi University of Isfahani (RA), Isfahan. (In Persian).
Allen, J. L. (2012). Derivatives clearinghouses and systemic risk: a bankruptcy and Dodd-Frank analysis. Stan. L. Rev., 64, 1079.‏
Amini, H., Filipović, D., & Minca, A. (2015). Systemic risk and central clearing counterparty design. Swiss Finance Institute Research Paper, (13-34).
Azar, Adel and Momeni, Mansour. (2013). Statistics and its application in management. Side Publications. (In Persian).
Bentler, P. M. (1990). Comparative fit indexes in structural models. Psychological Bulletin, 107, 238–246.
Clark, E., & Ghosh, D. K. (2004). Arbitrage, hedging, and speculation: the foreign exchange market. Greenwood Publishing Group.
Clavijo, J. (2013). Risk Capital Allocation for a Guarantee Fund in a Central Counterparty Clearing.
Esfidani, Mohammad Rahim and Mohsenin, Shahriar. (2012). Structural equations based on partial least squares approach using Smart-Pls software. Mehraban Publishing Institute. (In Persian).
Friesz, M., & Váradi, K. (2019). The Role of Central Counterparties on The Energy Market. International journal of multidisciplinary in business and science, 5(8), 48-56.
Gregory, J. (2015). The xVA Challenge: counterparty credit risk, funding, collateral and capital. John Wiley & Sons.
Heydar Ali, Homan. (2005). Modeling of structural equations using Lisrel software. Side Publications. First Edition. (In Persian)
Hills, B., Rule, D., Parkinson, S., & Young, C. (1999). Central counterparty clearing houses and financial stability. Financial Stability Review, Bank of England, 6(2), 122-134.‏
Hosseinzadeh, Fatima. (2015). Investigating settlement guarantees in the commodity exchange. Faculty of Law, University of Qom, Qom (In Persian)
Krichene, N. (2012). Islamic capital markets: Theory and practice. John Wiley & Son.
Loader, D. (2019). Clearing, settlement and custody. Butterworth-Heinemann.
Mabadi, Dana. (2013). Basics, structure and performance of the Central Securities Depository and Funds Settlement Company with an emphasis on clearing house, guarantee fund and deposit system. Faculty of Law, University of Science and Culture, Tehran. (In Persian).
Millo,yuval; Muniesa, Fabian(2005). Organised Detachment: Clearing House Mechanism in Financial Markets, Information and Organization, Volume 15, Issue 3, P233.
Milne, A. (2016). Central securities depositories and securities clearing and settlement: Business practice and public policy concerns. In Analyzing the Economics of Financial Market Infrastructures (pp. 334-358). IGI Global.
Mohseni, Mohammad Reza, Khodabakhsh, Mohsen and Siahkazadeh, Sajjad. (2015). Essays from before to after the transactions: a collection of specialized articles of Mazakzi Securities Depository and Funds Settlement Company (SAMAT). Nezhat Publications. (In Persian).
Mousaviyan, Seyyed Abbas and Masouminia, Gholam Ali. (2010). Derivative tools of jurisprudential and economic review. Tehran: Research Institute of Islamic Culture and Thought. (In Persian)
Muñoz, D. F., Palacios, A., & de Lascurain, M. (2012). Modeling, simulation and analysis of a securities settlement system: The case of Central Securities Depository of Mexico. Journal of Economics Finance and Administrative Science, 17(33), 48-59.
Munro, B. H. (2005). Statistical methods for health care research (Vol. Lippincott Williams & Wilkins.
 Naseri, Mehdi. (2016). Comparative study of clearing house in commodity exchange transactions. Faculty of Law and Political Sciences, Khwarazmi University, Tehran.‌ (In Persian).
Rai, Reza and Saidi, Ali. (2016). Fundamentals of financial engineering and risk management. Side Publications. Autumn second edition. (In Persian)
Ripatti, K. (2004). Central counterparty clearing: constructing a framework for evaluation of risks and benefits. Bank of Finland Research Discussion Paper, (30).
Pavlát, V. (2016). Central securities depositories of the Visegrad Group countries compared. Studia Ekonomiczne, (266), 7-17.
Pasban, Mohammad Reza and Badie Sanae Esfahani, Amin. (2017). A comparative study of the time of fulfillment of obligations and settlement of stock transactions in the principles and standards of the International Organization of Securities Commissions (IOSCO) and Iran's legal system. Securities Exchange Quarterly. 11(41): 67-26(In Persian).
Salehabadi, Ali, Ali Mohammadi, Maitham and Marzani, Seyedjavad. (2015). Rating of brokerage companies of Tehran Stock Exchange based on the risk criteria of settlement guarantee fund of central securities depository and funds settlement company. Investment knowledge. 5(20): 25-38. (In Persian).
Sami, Siddiqa. (2010). Investigating the legal relationship of the client (genuine) broker in the stock market. Faculty of Theology and Human Sciences, Payam Noor University, Tehran. (In Persian).
Sepherdoost, Hamid and Barjisian, Adel. (2013). Estimating the probability of bank payment facility default using logit regression. Planning and Budget. 19(1): 31-52. (In Persian).
Wendt, M. F., Katz, P., & Zanza, A. (2019). How to Organize Central Securities Depositories in Developing Markets: Key Considerations. International Monetary Fund.
Wheaton, B., Muthen, B., Alwin, D. F., & Summers, G. F. (1977). Assessing reliability and stability in panel models. Sociological methodology, 8, 84-136.