Radoslav Raykov - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T23:04:14+00:00Decomposing Large Banks’ Systemic Trading Losses
https://www.bankofcanada.ca/2024/03/staff-working-paper-2024-6/
Do banks realize simultaneous trading losses because they invest in the same assets, or because different assets are subject to the same macro shocks? This paper decomposes the comovements of bank trading losses into two orthogonal channels: portfolio overlap and common shocks.2024-03-07T09:53:20+00:00enDecomposing Large Banks’ Systemic Trading Losses2024-03-07Financial institutionsFinancial stabilityStaff Working Paper 2024-6https://www.bankofcanada.ca/wp-content/uploads/2024/03/swp2024-6.pdfDecomposing Large Banks’ Systemic Trading LossesRadoslav RaykovMarch 2024GG1G10G11G2G20Considerations for the allocation of non-default losses by financial market infrastructures
https://www.bankofcanada.ca/2022/11/staff-analytical-note-2022-16/
Non-default losses of financial market infrastructures (FMIs) have gained attention due to their potential impacts on FMIs and FMI participants, and the lack of a common approach to address them. A key question is, who should absorb these losses?2022-11-03T12:32:09+00:00enConsiderations for the allocation of non-default losses by financial market infrastructures2022-11-03Asymmetric Systemic Risk
https://www.bankofcanada.ca/2022/05/staff-working-paper-2022-19/
Bank regulation presumes risks spill over more easily from large banks to the banking system than vice versa. Interestingly, we observe this is not the case. We find that the capacity to transmit risk is larger in the system-to-bank direction, leading to an increased default risk.2022-05-02T15:43:14+00:00enAsymmetric Systemic Risk2022-05-02Financial institutionsFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2022-19https://www.bankofcanada.ca/wp-content/uploads/2022/05/swp2022-19.pdfStaff Working Paper 2022-19Radoslav RaykovConsuelo Silva-BustonMay 2022GG1G10G2G20Systemic Risk and Portfolio Diversification: Evidence from the Futures Market
https://www.bankofcanada.ca/2021/10/staff-working-paper-2021-50/
This paper explores how the Canadian futures market contributed to banks’ systemic risk during the 2008 financial crisis. It finds that core banks as a whole traded against the periphery, in this way increasing their risk of simultaneous losses.2021-10-13T10:53:46+00:00enSystemic Risk and Portfolio Diversification: Evidence from the Futures Market2021-10-13Financial institutionsFinancial marketsStaff Working Paper 2021-50https://www.bankofcanada.ca/wp-content/uploads/2021/10/swp2021-50.pdfStaff Working Paper 2021-50Radoslav RaykovOctober 2021GG1G10G2G20Systemic Risk and Collateral Adequacy
https://www.bankofcanada.ca/2019/06/staff-working-paper-2019-23/
Many derivatives markets use collateral requirements calculated with industry-standard but dated methods that are not designed with systemic risk in mind. This paper explores whether the conservative nature of conventional collateral requirements outweighs their lack of consideration of systemic risk.2019-06-18T10:57:47+00:00enSystemic Risk and Collateral Adequacy2019-06-18Financial institutionsFinancial marketsStaff Working Paper 2019-23https://www.bankofcanada.ca/wp-content/uploads/2019/06/swp2019-23.pdfSystemic Risk and Collateral AdequacyRadoslav RaykovJune 2019GG1G10G2G20Multibank Holding Companies and Bank Stability
https://www.bankofcanada.ca/2018/10/staff-working-paper-2018-51/
This paper studies the relationship between bank holding company affiliation and the individual and systemic risk of banks. Using the 2005 hurricane season in the US as an exogenous shock to bank balance sheets, we show that banks that are part of a holding parent company are more resilient than independent banks.2018-10-25T13:01:44+00:00enMultibank Holding Companies and Bank Stability2018-10-25Financial institutionsFinancial stabilityStaff Working Paper 2018-51https://www.bankofcanada.ca/wp-content/uploads/2018/10/swp2018-51.pdfMultibank Holding Companies and Bank StabilityRadoslav RaykovConsuelo Silva-BustonOctober 2018GG1G2Stability and Efficiency in Decentralized Two‐Sided Markets with Weak Preferences
https://www.bankofcanada.ca/2017/02/staff-working-paper-2017-4/
Many decentralized markets are able to attain a stable outcome despite the absence of a central authority (Roth and Vande Vate, 1990). A stable matching, however, need not be efficient if preferences are weak. This raises the question whether a decentralized market with weak preferences can attain Pareto efficiency in the absence of a central matchmaker.2017-02-15T12:57:17+00:00enStability and Efficiency in Decentralized Two‐Sided Markets with Weak Preferences2017-02-15Economic modelsStaff Working Paper 2017-4https://www.bankofcanada.ca/wp-content/uploads/2017/02/swp2017-4.pdfStability and Efficiency in Decentralized Two‐Sided Markets with Weak PreferencesRadoslav RaykovFebruary 2017CC7C78DD6D61To Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse
https://www.bankofcanada.ca/2016/02/staff-working-paper-2016-4/
This paper studies how the allocation of residual losses affects trading and welfare in a central counterparty. I compare loss sharing under two loss-allocation mechanisms – variation margin haircutting and cash calls – and study the privately and socially optimal degree of loss sharing.2016-02-23T08:09:14+00:00enTo Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse2016-02-23Economic modelsPayment clearing and settlement systemsStaff Working Paper 2014-6https://www.bankofcanada.ca/wp-content/uploads/2016/02/swp2016-4.pdfTo Share or Not to Share? Uncovered Losses in a Derivatives ClearinghouseRadoslav RaykovFebruary 2016GG1G19G2G21Optimal Margining and Margin Relief in Centrally Cleared Derivatives Markets
https://www.bankofcanada.ca/2014/06/working-paper-2014-29/
A major policy challenge posed by derivatives clearinghouses is that their collateral requirements can rise sharply in times of stress, reducing market liquidity and further exacerbating downturns.2014-06-18T13:06:24+00:00enOptimal Margining and Margin Relief in Centrally Cleared Derivatives Markets2014-06-18Economic modelsPayment clearing and settlement systemsWorking Paper 2014-29https://www.bankofcanada.ca/wp-content/uploads/2014/06/wp2014-29.pdfOptimal Margining and Margin Relief in Centrally Cleared Derivatives MarketsRadoslav RaykovJune 2014GG1G19G2G21Uncertain Costs and Vertical Differentiation in an Insurance Duopoly
https://www.bankofcanada.ca/2014/04/working-paper-2014-14/
Classical oligopoly models predict that firms differentiate vertically as a way of softening price competition, but some metrics suggest very little quality differentiation in the U.S. auto insurance market.2014-04-21T10:21:22+00:00enUncertain Costs and Vertical Differentiation in an Insurance Duopoly2014-04-21Economic modelsMarket structure and pricingWorking Paper 2014-14https://www.bankofcanada.ca/wp-content/uploads/2014/04/wp2014-14.pdfUncertain Costs and Vertical Differentiation in an Insurance DuopolyRadoslav RaykovApril 2014DD4D43D8D81GG2G22LL2L22