Tail Risk in a Retail Payment System: An Extreme-Value Approach
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References listed on IDEAS
- Héctor Pérez Saiz & Gabriel Xerri, 2016. "Credit Risk and Collateral Demand in a Retail Payment System," Discussion Papers 16-16, Bank of Canada.
- Keith Kuester & Stefan Mittnik & Marc S. Paolella, 2006. "Value-at-Risk Prediction: A Comparison of Alternative Strategies," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 53-89.
- Carlos Arango & Kim Huynh & Ben Fung & Gerald Stuber, 2012. "The Changing Landscape for Retail Payments in Canada and the Implications for the Demand for Cash," Bank of Canada Review, Bank of Canada, vol. 2012(Autumn), pages 31-40.
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More about this item
Keywords
Econometric and statistical methods; Financial stability; Payment clearing and settlement systems;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-PAY-2018-02-12 (Payment Systems and Financial Technology)
- NEP-RMG-2018-02-12 (Risk Management)
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