00000nam 2200000za 4500 9.821818 CaOODSP 20221107143541 cr ||||||||||| 160729s2016 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-6/2016-16E-PDF Perez-Saiz, Hector. Credit risk and collateral demand in a retail payment system [electronic resource] / by Hector Perez-Saiz and Gabriel Xerri. [Ottawa] : Bank of Canada, c2016. ii, 27 p. Staff discussion paper, 1914-0568 ; 2016-16 "July 2016." Includes bibliographical references. The recent financial crisis has led to the development of new regulations to control risk in designated payment systems, and the implementation of new credit risk management standards is one of the key issues. In this paper, we study various credit risk management schemes for the Canadian retail payment system (ACSS) that are designed to cover the exposure of a defaulting member. We consider schemes that use a collateral pool calculated using a rolling time window. Our simulations show that the size of the window has a very significant effect on the average level of collateral and its variability day to day, creating an interesting trade-off. Collateral levels and variability may be important for ACSS participants because they could affect the opportunity costs of pledging collateral, and also the costs of managing it over time. Our results contribute to understanding the practical implementation of risk management schemes in the current and future generations of payment systems in Canada. gccst Retail trade gccst Credit gccst Risk management gccst Statistical analysis Xerri, Gabriel. Bank of Canada. Staff discussion paper (Bank of Canada) 2016-16 (CaOODSP)9.806273 PDF 2.96 MB https://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-6-2016-16-eng.pdf