000	02138cam  2200325za 4500
001	9.821818
003	CaOODSP
005	20221107143541
007	cr |||||||||||
008	160729s2016    oncd    ob   f000 0 eng d
040	|aCaOODSP|beng
041	|aeng|bfre
043	|an-cn---
086	1 |aFB3-6/2016-16E-PDF
100	1 |aPerez-Saiz, Hector.
245	10|aCredit risk and collateral demand in a retail payment system |h[electronic resource] / |cby Hector Perez-Saiz and Gabriel Xerri.
260	|a[Ottawa] : |bBank of Canada, |cc2016.
300	|aii, 27 p.
490	1 |aStaff discussion paper, |x1914-0568 ; |v2016-16
500	|a"July 2016."
504	|aIncludes bibliographical references.
520	3 |aThe 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.
692	07|2gccst|aRetail trade
692	07|2gccst|aCredit
692	07|2gccst|aRisk management
692	07|2gccst|aStatistical analysis
700	1 |aXerri, Gabriel.
710	2 |aBank of Canada.
830	#0|aStaff discussion paper (Bank of Canada)|v2016-16|w(CaOODSP)9.806273
856	40|qPDF|s2.96 MB|uhttps://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-6-2016-16-eng.pdf