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Stress testing central counterparties for resolution planning

Author

Listed:
  • Katherine Brennan
  • Bo Young Chang
  • Alper Odabasioglu
  • Radoslav Raykov

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.

Suggested Citation

  • Katherine Brennan & Bo Young Chang & Alper Odabasioglu & Radoslav Raykov, 2025. "Stress testing central counterparties for resolution planning," Staff Analytical Notes 2025-11, Bank of Canada.
    • Handle: RePEc:bca:bocsan:25-11
    DOI: 10.34989/san-2025-11
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    More about this item

    Keywords

    Financial institutions; Financial markets; Financial stability; Financial system regulation and policies; Payment clearing and settlement systems;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G2 - Financial Economics - - Financial Institutions and Services
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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