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Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data
Chapman, James; Zhang, Yinan - Bank of Canada - 2010
In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the … relationships between participants in the payment system is a crucial step in achieving the goal. The set of nodes in any given …
Persistent link: https://www.econbiz.de/10008530600
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A Note on Central Counterparties in Repo Markets
Tomura, Hajime - Bank of Canada - 2012
The author introduces a central counterparty (CCP) into a model of a repo market. Without the CCP, there exist multiple equilibria in the model. In one of the equilibria, a repo market emerges as bond dealers and cash investors choose to arrange repos in an over-the-counter bond market. In...
Persistent link: https://www.econbiz.de/10009653923
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Lessons from International Central Counterparties: Benchmarking and Analysis
Lazarow, Alexandre - Bank of Canada - 2011
Clearing, Eurex Clearing and LCH.Clearnet - are considered in terms of risk management, CCP links, governance and operational …
Persistent link: https://www.econbiz.de/10009323064
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On the Existence and Fragility of Repo Markets
Tomura, Hajime - Bank of Canada - 2012
This paper presents a model of an over-the-counter bond market in which bond dealers and cash investors arrange repurchase agreements (repos) endogenously. If cash investors buy bonds to store their cash, then they suffer an endogenous bond-liquidation cost because they must sell their bonds...
Persistent link: https://www.econbiz.de/10010553345
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The Effects of a Disruption in CDSX Settlement on Activity in the LVTS: A Simulation Study
Embree, Lana; Millar, Kirby - Bank of Canada - 2008
payment obligations must settle on the Bank of Canada's books, with payments made through the LVTS. CDSX settlement payments … indicate that a disruptive event could lead to a considerable amount of rejected payments and payment delays. These findings …
Persistent link: https://www.econbiz.de/10005808273
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Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
García, Alejandro; Gençay, Ramazan - Bank of Canada - 2006
The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral. In particular, they study the risk and cost attributes of market risk measures by constructing a risk-cost frontier...
Persistent link: https://www.econbiz.de/10005162528
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Losses from Simulated Defaults in Canada's Large Value Transfer System
Zhang, Nellie; Hossfeld, Tom - Bank of Canada - 2010
into consideration, or if two participants default during the same payment cycle. The authors examine surviving participant …
Persistent link: https://www.econbiz.de/10008679906
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A Model of Tiered Settlement Networks
Chapman, James; Chiu, Jonathan; Molico, Miguel - Bank of Canada - 2008
welfare consequences of clearing agent failure. The equilibrium degree of tiering is endogenously determined by the cost …-tier network and the availability of public credit history. Furthermore, the welfare effects of clearing agent failure can be …
Persistent link: https://www.econbiz.de/10005220954
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The Impact of Operational Events on the Network Structure of the LVTS
Roberts, Tom - Bank of Canada - 2011
established. For example, the effect of a partial outage at a big six bank that has a net payment balance of $1 billion is …
Persistent link: https://www.econbiz.de/10009323065
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Analyzing Default Risk and Liquidity Demand during a Financial Crisis: The Case of Canada
Allen, Jason; Hortaçsu, Ali; Kastl, Jakub - Bank of Canada - 2011
This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. We use data from the Canadian financial system to show that these publicly available risk measures, while indicative of initial...
Persistent link: https://www.econbiz.de/10009326649