Arbeitspapier
Tail risk in a retail payment system: An extreme-value approach
The increasing importance of risk management in payment systems has led to the development of an array of sophisticated tools designed to mitigate tail risk in these systems. In this paper, we use extreme value theory methods to quantify the level of tail risk in the Canadian retail payment system (ACSS) for the period from 2002 to 2015. Our analysis shows that tail risk has been increasing over the years, but the pace of growth has been reduced towards the end of our data sample, which suggests a slower rate of growth of collateral required to cover that risk.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Discussion Paper ; No. 2018-2
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Financial Econometrics
- Thema
-
Econometric and statistical methods
Financial stability
Payment clearing and settlement systems
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Perez-Saiz, Hector
Williams, Blair
Xerri, Gabriel
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2018
- DOI
-
doi:10.34989/sdp-2018-2
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Perez-Saiz, Hector
- Williams, Blair
- Xerri, Gabriel
- Bank of Canada
Entstanden
- 2018
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