Measuring Systemic Risk Across Financial Market Infrastructures

Fuchun Li and Hector Perez Saiz ()

Staff Working Papers from Bank of Canada

Abstract: 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. We construct indicators of credit risk exposures in three main Canadian FMIs during the period 2007–11 and use extreme value methods to estimate this probability. We find large differences in the contribution to systemic risk across participants. We also find that when participants are in financial distress, they tend to create large credit exposures in two or more FMIs. Our results suggest that an appropriate oversight of FMIs may benefit from an in-depth system-wide analysis, which may have useful implications for the macroprudential regulation of the financial system.

Keywords: Econometric and statistical methods; Financial stability; Payment clearing and settlement systems (search for similar items in EconPapers)
JEL-codes: C58 G21 G23 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2016
New Economics Papers: this item is included in nep-ban, nep-cba and nep-rmg
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Citations: View citations in EconPapers (57)

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:16-10

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