Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/200455
Authors: 
Perez-Saiz, Hector
Williams, Blair
Xerri, Gabriel
Year of Publication: 
2018
Series/Report no.: 
Bank of Canada Staff Discussion Paper 2018-2
Abstract: 
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.
Subjects: 
Econometric and statistical methods
Financial stability
Payment clearing and settlement systems
JEL: 
G21
G23
C58
Document Type: 
Working Paper

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