Arbeitspapier
Systemic risk and collateral adequacy: Evidence from the great crisis
Conventional collateral requirements are highly conservative but are not explicitly designed to deal with systemic risk. This paper explores the adequacy of conventional collateral levels against systemic risk in the Canadian futures market during the 2008 crisis. Our results show that conventional collateral levels adequately absorb crisis-level systemic risk, even allowing for an implausibly large margin of error. However, this occurs at the expense of unequal buffering of systemic risk across banks. We document that the largest systemic risk contributors are buffered relatively less than the rest and that there is a large cross-country difference in the behavior of US and Canadian institutions. Nonetheless, even this does not result in meaningful risk spillovers. The maximum expected market shortfall in excess of collateral comes up to at most 1% of the banks' market capitalization, and hence the added systemic risk does not exceed the effect of a 1% downward stock price move.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2019-23
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Financial Institutions and Services: General
- Thema
-
Financial markets
Financial institutions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Raykov, Radoslav
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2019
- DOI
-
doi:10.34989/swp-2019-23
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Raykov, Radoslav
- Bank of Canada
Entstanden
- 2019
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