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Enterprise Applications and Services in the Finance Industry - 3rd International Workshop, FinanceCom 2007, Montreal, Canada, December 8, 2007, Revised Papers
Daniel J. Veit, Dennis Kundisch, Tim Weitzel, Christof
Verlag Springer-Verlag, 2008
ISBN 9783540785507 , 202 Seiten
Format PDF, OL
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Preface
5
Organization
9
Table of Contents
11
Flexible VWAP Executions in Electronic Trading
13
Introduction
13
Related Works
14
VWAP Landscape in Today’s Financial Industry
16
Flexible VWAP Trading – The Market Design
17
General Market Model Characteristics
17
Order Types and Parameters
18
Trading Phases
19
Matching Rules
21
Safeguarding
25
Conclusions
25
References
26
A Process Model for Best Execution
27
Introduction
27
The Markets in Financial Instruments Directive
28
Overview
28
MiFID’s Best Execution Concept
28
Related Literature
29
Definition of a Best Execution Process Model
29
Determination of Relevant Factors and Their Weight
30
Selection of Execution Venues
33
Matching of Weighted Best Execution Factors and Execution Venues
35
Example for the Execution of a Specific Client Order
37
Discussion and Outlook
38
Discussion of a Minimal Approach to Comply with MiFID’s Best Execution
38
Towards Best Execution Order-by-Order as Optional Strategy
39
MiFID’s Best Execution vs. SEC’s Reg NMS
40
Conclusions
41
References
42
Transferring Portfolio Selection Theory to Customer Portfolio Management – The Case of an e-Tailer
44
Introduction
44
Customer Relationship Management and Portfolio Theory
45
A Model for Analyzing Customer Portfolios from an Integrated Risk-Return Perspective
46
Transferability of Portfolio Selection Theory to Customer Relationships
47
Model Assumptions
49
Portfolio Optimization – Static View
51
First Evaluation with an e-Tailer’s Data Set
54
Portfolio Optimization – Dynamic View
56
Conclusion and Outlook
58
References
59
Trends in European Cross-Border Securities Settlement – TARGET2-Securities and the Code of Conduct
62
Introduction
62
Clearing and Settlement of Securities Transactions
63
Development of Clearing and Settlement in Europe
64
Consolidation of Settlement Market Infrastructure
64
Central Counterparty
65
The European Code of Conduct for Clearing and Settlement
65
TARGET2-Securities
71
Analysis of Approaches to Improve the European Cross-Border Securities Settlement
74
Conclusion and Outlook
76
References
76
General Requirements of Banks on IT Architectures and the Service-Oriented Architecture Paradigm
78
Introduction
78
Theoretical Foundation
79
The Service-Oriented Architecture Paradigm
79
Current State of Research on SOA and the Banking Industry
80
Related Work
81
Methodology and Sample Characteristics
82
Methodology
82
Sample Characteristics
83
Empirical Results
84
Assessment of Current/Future Relevance of Requirements on IT Architectures
84
Status Quo of SOA Adaptation in the German Banking Industry
86
Restrictions for the Adaptation of SOA
88
Limitations and Transferability of Results
89
Summary and Future Work
89
IT Capabilities and Organizational Change: Digging Deeper into the Banking Industry
93
Introduction
93
The Scenario
94
Theoretical Framework and Research Questions
95
Background
95
Methodology
98
Data Analysis and Findings
100
Data Presentation
100
Verification of our Hypotheses
102
Discussion and Conclusions
103
References
105
Cash Tokens for SAML Based Federations
109
Introduction
109
Related Work
110
Federation Approaches
110
Payment
112
Payment Assertions
114
Federation Architecture
116
Authentication
117
Authorization
117
Payment
118
Security Analysis
120
Payment Provider
120
Consumer
120
Service Provider
121
Eavesdropper and Man in the Middle
121
Hardware Theft
121
Data Loss
121
Conclusions and Outlook
122
Foreign Delisting and Domestic Stock Value:Multiple Frameworks, Different Views?
124
Introduction
124
Literature Review
126
Data and Methodology
129
Sample Selection
129
Methodology
130
Empirical Results
132
Qualitative Results
132
Event Study Results
135
Conclusions
141
References
142
Instruments for an Integrated Business Network Redesign in the Financial Industry
148
Introduction
148
Motivation
148
Methodology and Structure
149
Foundation
151
Business Network Redesign
151
Service Modeling and Service Oriented Architecture
152
Instruments for Business Network Redesign
153
Process Model: Reference Process for Investments
153
Business Model: Reference Network for Investments
154
Information System Model: Reference Service Clusters and Service Map
155
Application of the Instruments in a Case Study
157
Business Model / Network Layer
157
IT / Service Layer
158
Conclusions
159
References
160
Explaining the Adoption of Value Metrics in Retail Banks’ Customer Management
163
Introduction
163
Customer Lifetime Value (CLV) Concept
164
Related Literature
165
Research Model and Hypotheses
166
Innovation
166
Organization
167
Environment
167
Methodology
168
Analysis
170
Demographics
170
Model Validation
170
Results
171
Discussion / Limitations and Conclusions
172
References
173
Information Risk in Financial Institutions: Field Study and Research Roadmap
177
Introduction
177
Organizational Complexity Feeds Security Complexity
179
Security Strategies
181
Managing Complexity in Security
184
Entitlement Review
184
Using Roles for Structure and Entitlements
186
Role-Based System Technology and Deployment
190
Conclusions and Future Work
191
References
192
Technology for Trading: What Works and What Fails
193
Early Ideas
193
Incentive Non-alignment
194
The New Era Finally Arrives
194
What Have We Learned?
195
Three Success Factors
197
Ripe for Research
200
References
201
Author Index
202
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