Stress testing central counterparties for resolution planning

Katherine Brennan, Bo Young Chang, Alper Odabasioglu and Radoslav Raykov

No 2025-11, Staff Analytical Notes from Bank of Canada

Abstract: The Bank of Canada completed its first resolution plan for the Canadian Derivatives and Clearing Corporation (CDCC) in 2024. To estimate the resolution costs, we apply the extreme value theory method to simulate the credit losses that would result from extreme scenarios where multiple clearing members default at the same time.

Keywords: Financial institutions; Financial markets; Financial stability; Financial system regulation and policies; Payment clearing and settlement systems (search for similar items in EconPapers)
JEL-codes: G1 G17 G2 G23 G28 (search for similar items in EconPapers)
Date: 2025-03
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsan:25-11

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