On the Value of Virtual Currencies Staff working paper 2016-42 Wilko Bolt, Maarten van Oordt This paper develops an economic framework to analyze the exchange rate of virtual currency. Three components are important: first, the current use of virtual currency to make payments; second, the decision of forward-looking investors to buy virtual currency (thereby effectively regulating its supply); and third, the elements that jointly drive future consumer adoption and merchant acceptance of virtual currency. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Digital currencies and fintech, Exchange rates JEL Code(s): E, E4, E42, E5, E51, F, F3, F31, G, G1 Research Theme(s): Financial markets and funds management, Market functioning, Money and payments, Digital assets and fintech, Payment and financial market infrastructures
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. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures, Retail payments
Clearing and Settlement Systems from Around the World: A Qualitative Analysis Staff discussion paper 2016-14 Michael Tompkins, Ariel Olivares As Canada continues to engage in a dialogue to develop the approach to modernizing its core payment systems, we analyze the core payment systems that exist in countries around the world. We study payment systems in 27 jurisdictions, encompassing a broad range of geographic regions, through three levels of analysis. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): E, E4, E42, L, L1, L14, L15, L5, L52 Research Theme(s): Financial markets and funds management, Market structure, Money and payments, Payment and financial market infrastructures
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. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures
A Framework in Search of an Optimal Margining Policy for Official Institutions: The Canadian Experience Staff discussion paper 2016-9 Tomo Nakashima, Mihai Cosma, Boran Plong One of the main outcomes of the global financial crisis has been a series of new regulations imposed on the financial system and specifically on banks. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial markets, Foreign reserves management JEL Code(s): G, G3, G32 Research Theme(s): Financial markets and funds management, Funds management, Financial system, Financial stability and systemic risk, Money and payments, Payment and financial market infrastructures
To Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse Staff working paper 2016-4 Radoslav Raykov 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. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Payment clearing and settlement systems JEL Code(s): G, G1, G19, G2, G21 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Money and payments, Payment and financial market infrastructures