---
title: Settlement Risk and Currency Markets
url: https://www.ml-quant.com/papers/ssrn/7201787/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7201787
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7201787
featured: 2026-09-25
citations: unknown
topic: Trading, Microstructure & Execution
---


# Settlement Risk and Currency Markets

Hungary's 2015 adoption of payment-versus-payment settlement reduced currency excess returns by ten basis points, demonstrating settlement risk is a priced friction limiting arbitrage.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7201787
- Identifier: SSRN 7201787
- Released: 2026-09-24
- First featured: Quant Letter No. 132 (2026-09-25): https://www.ml-quant.com/issues/2026-09-25/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution
- Authors: Seungduck Lee, Angelo Ranaldo, Tomohiro Tsuruga

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