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Bank of Canada RSS Feedsen2024-03-29T12:57:26+00:00Tail Risk in a Retail Payment System: An Extreme-Value Approach
https://www.bankofcanada.ca/2018/01/staff-discussion-paper-2018-2/
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 2015.2018-01-22T15:48:13+00:00enTail Risk in a Retail Payment System: An Extreme-Value Approach2018-01-22Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsStaff Discussion Paper 2018-2https://www.bankofcanada.ca/wp-content/uploads/2018/01/sdp2018-2.pdfTail Risk in a Retail Payment System: An Extreme-Value ApproachHéctor Pérez SaizBlair WilliamsGabriel XerriJanuary 2018CC5C58GG2G21G23