Héctor Pérez Saiz

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A Calibrated Model of Intraday Settlement

Staff Discussion Paper 2018-3 Héctor Pérez Saiz, Siddharth Untawala, Gabriel Xerri
This paper estimates potential exposures, netting benefits and settlement gains by merging retail and wholesale payments into batches and conducting multiple intraday settlements in this hypothetical model of a single "calibrated payments system." The results demonstrate that credit risk exposures faced by participants in the system are largely dependent on their relative activity in the retail and wholesale payments systems.

Tail Risk in a Retail Payment System: An Extreme-Value Approach

Staff Discussion Paper 2018-2 Héctor Pérez Saiz, Blair Williams, Gabriel Xerri
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.

Credit Risk and Collateral Demand in a Retail Payment System

Staff Discussion Paper 2016-16 Héctor Pérez Saiz, Gabriel Xerri
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.

Measuring Systemic Risk Across Financial Market Infrastructures

Staff Working Paper 2016-10 Fuchun Li, Héctor Pérez Saiz
We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant.

Emergency Liquidity Facilities, Signalling and Funding Costs

In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve’s discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities.

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