Héctor Pérez Saiz - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T18:17:43+00:00Geographical and Cultural Proximity in Retail Banking
https://www.bankofcanada.ca/2023/01/staff-working-paper-2023-2/
This paper measures how both geographical and cultural proximity of bank branches affect household credit choice and pricing. For credit products that require high levels of ex-ante screening, we find that both proximities can complement each other in reducing the cost of providing soft information, thereby increasing credit access.2023-01-05T07:36:06+00:00enGeographical and Cultural Proximity in Retail Banking2023-01-05Credit and credit aggregatesFinancial institutionsFinancial servicesStaff Working Paper 2023-2https://www.bankofcanada.ca/wp-content/uploads/2023/01/swp2023-2.pdfGeographical and Cultural Proximity in Retail BankingSantiago Carbo-ValverdeHéctor Pérez SaizHongyu XiaoJanuary 2023DD8D82D83GG2G20G21RR2R22ZZ1Z10Z13A Calibrated Model of Intraday Settlement
https://www.bankofcanada.ca/2018/01/staff-discussion-paper-2018-3/
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.2018-01-25T10:00:16+00:00enA Calibrated Model of Intraday Settlement2018-01-25Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsStaff Discussion Paper 2018-3https://www.bankofcanada.ca/wp-content/uploads/2018/01/sdp2018-3.pdfA Calibrated Model of Intraday SettlementHéctor Pérez SaizSiddharth UntawalaGabriel XerriJanuary 2018CC5C58GG2G21G23Tail 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 2018CC5C58GG2G21G23Credit Risk and Collateral Demand in a Retail Payment System
https://www.bankofcanada.ca/2016/07/staff-discussion-paper-2016-16/
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.2016-07-27T07:41:33+00:00enCredit Risk and Collateral Demand in a Retail Payment System2016-07-27Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsStaff Discussion Paper 2016-16https://www.bankofcanada.ca/wp-content/uploads/2016/07/sdp2016-16.pdfCredit Risk and Collateral Demand in a Retail Payment SystemHéctor Pérez SaizGabriel XerriJuly 2016CC5C58GG2G21G23Measuring Systemic Risk Across Financial Market Infrastructures
https://www.bankofcanada.ca/2016/03/staff-working-paper-2016-10/
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.2016-03-15T08:37:05+00:00enMeasuring Systemic Risk Across Financial Market Infrastructures2016-03-15Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsStaff Working Paper 2016-10https://www.bankofcanada.ca/wp-content/uploads/2016/03/swp2016-10.pdfMeasuring Systemic Risk Across Financial Market InfrastructuresFuchun LiHéctor Pérez SaizMarch 2016CC5C58GG2G21G23Emergency Liquidity Facilities, Signalling and Funding Costs
https://www.bankofcanada.ca/2015/12/staff-working-paper-2015-44/
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.2015-12-03T13:39:05+00:00enEmergency Liquidity Facilities, Signalling and Funding Costs2015-12-03Financial institutionsFinancial stabilityLender of last resortStaff Working Paper 2015-44https://www.bankofcanada.ca/wp-content/uploads/2015/12/wp2015-44.pdfEmergency Liquidity Facilities, Signalling and Funding CostsCéline GauthierAlfred LeharHéctor Pérez SaizMoez SouissiDecember 2015GG0G01G2G21G28Public Policy Objectives and the Next Generation of CPA Systems: An Analytical Framework
https://www.bankofcanada.ca/2015/09/discussion-paper-2015-6/
The payments landscape in Canada is rapidly changing and will continue to evolve, fuelled by strong and persistent drivers. In Canada, the Canadian Payments Association (CPA) is on a path to modernize Canada’s core payment systems.2015-09-16T15:39:11+00:00enPublic Policy Objectives and the Next Generation of CPA Systems: An Analytical Framework2015-09-16Economic modelsFinancial servicesFinancial system regulation and policiesPayment clearing and settlement systemsDiscussion Paper 2015-6 https://www.bankofcanada.ca/wp-content/uploads/2015/09/dp2015-6.pdfPublic Policy Objectives and the Next Generation of CPA Systems: An Analytical FrameworkJames ChapmanJonathan ChiuSajjad JafriHéctor Pérez SaizSeptember 2015EE4E42LL1L14L15L5L52To Link or Not To Link? Netting and Exposures Between Central Counterparties
https://www.bankofcanada.ca/2013/03/working-paper-2013-6/
This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default exposures that exist between participants and CCPs.2013-03-15T11:18:39+00:00enTo Link or Not To Link? Netting and Exposures Between Central Counterparties2013-03-15Payment clearing and settlement systemsWorking Paper 2013-6https://www.bankofcanada.ca/wp-content/uploads/2013/03/wp2013-06.pdfTo Link or Not To Link? Netting and Exposures Between Central CounterpartiesStacey AndersonJean-Philippe DionHéctor Pérez SaizMarch 2013GG1G18G2G23Access, Competition and Risk in Centrally Cleared Markets
https://www.bankofcanada.ca/wp-content/uploads/2012/11/bod-review-autumn12-fontaine.pdf
Central counterparties can make over-the-counter markets more resilient and reduce systemic risk by mitigating and managing counterparty credit risk. These benefits are maximized when access to central counterparties is available to a wide range of market participants. In an over-the-counter market, there is an important trade-off between risk and competition. A model of an over-the-counter market shows how risk and competition could be influenced by the incentives of market participants as they move to central clearing. In a centrally cleared market, there may be less risk when participation is high. This helps to explain why regulators have put in place requirements for fair, open and risk-based access criteria.2012-11-15T07:49:08+00:00enAccess, Competition and Risk in Centrally Cleared Markets2012-11-15When Lower Risk Increases Profit: Competition and Control of a Central Counterparty
https://www.bankofcanada.ca/2012/11/working-paper-2012-35/
We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade-off between competition and risk.2012-11-09T11:55:55+00:00enWhen Lower Risk Increases Profit: Competition and Control of a Central Counterparty2012-11-09Financial marketsFinancial stabilityFinancial system regulation and policiesWorking Paper 2012-35https://www.bankofcanada.ca/wp-content/uploads/2012/11/wp2012-35.pdfWhen Lower Risk Increases Profit: Competition and Control of a Central CounterpartyJean-Sébastien FontaineHéctor Pérez SaizJoshua SliveNovember 2012GG1G10G18