Radoslav Raykov is a Principal Researcher at the Financial Stability Department at the Bank of Canada. He holds a B.A. in Economics from Harvard University and a Ph.D. in Economics from Boston College. Prior to joining the Bank, he worked at the Boston Fed and taught at Harvard University.
His research interests focus broadly on financial stability, and in particular, on: systemic risk, banking regulation and reform, financial reform in derivatives markets and OTC derivatives markets, collateral and moral hazard in financial markets, the insurability of low-probability, high-impact risks, catastrophe insurance and risk diversification, and mechanism design.
Staff working papers
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.
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.
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.
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.
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.
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.
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.
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.
- "Systemic Risk and Collateral Adequacy: Evidence from the Futures Market" Journal of Financial and Quantitative Analysis, 2021.
- "Holding Company Affiliation and Bank Stability: Evidence from the US Banking Sector" (joint with Consuelo Silva-Buston) Journal of Corporate Finance, 65, December 2020.
- “Risk Mutualization and Financial Stability: Recovering and Resolving a Central Counterparty”
Journal of Financial Market Infrastructures, 2018.
- "Reducing Margin Procyclicality at Central Counterparties" Journal of Financial Market Infrastructures, 7(2), 2018.
- “Catastrophe Insurance Equilibrium with Correlated Claims”
Theory and Decision, 2015.