Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148117
Authors: 
Li, Fuchun
Pérez Saiz, Héctor
Year of Publication: 
2016
Series/Report no.: 
Bank of Canada Staff Working Paper 2016-10
Abstract: 
We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant. We construct indicators of credit risk exposures in three main Canadian FMIs during the period 2007-11 and use extreme value methods to estimate this probability. We find large differences in the contribution to systemic risk across participants. We also find that when participants are in financial distress, they tend to create large credit exposures in two or more FMIs. Our results suggest that an appropriate oversight of FMIs may benefit from an in-depth system-wide analysis, which may have useful implications for the macroprudential regulation of the financial system.
Subjects: 
Payment clearing and settlement systems
Financial stability
Econometric and statistical methods
JEL: 
G21
G23
C58
Document Type: 
Working Paper

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