Enterprise Applications and Services in the Finance Industry (eBook)

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