The Impact of Unanticipated Defaults in Canada's Large Value Transfer System

Darcey McVanel

Staff Working Papers from Bank of Canada

Abstract: Canada's Large Value Transfer System (LVTS) is designed to meet international risk-proofing standards at a minimum cost to participants in terms of collateral requirements. It does so, in part, through collateralized risk-sharing arrangements whereby participants may incur losses if another participant defaults. The LVTS is designed to be robust to defaults. Its rules, however, do not ensure that individual participants are robust to defaults. The author studies participants' robustness to default empirically by creating unanticipated defaults in LVTS, and finds that all participants are able to withstand their loss allocations that result from the largest defaults she can create using actual LVTS data.

Keywords: Financial institutions; Payment clearing and settlement systems (search for similar items in EconPapers)
JEL-codes: E44 E47 G21 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2005
New Economics Papers: this item is included in nep-fin and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-25.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:05-25

Access Statistics for this paper

More papers in Staff Working Papers from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC.
Bibliographic data for series maintained by ().