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Soumettre les contreparties centrales à des simulations de crise pour établir leurs plans de résolution

Author

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

Abstract

En 2024, la Banque du Canada a terminé l’élaboration de son premier plan de résolution pour la Corporation canadienne de compensation de produits dérivés (CDCC). Afin d’estimer les coûts de résolution, nous utilisons la théorie des valeurs extrêmes pour simuler les pertes de crédit qui découleraient de situations extrêmes où plusieurs membres compensateurs feraient défaut en même temps.

Suggested Citation

  • Katherine Brennan & Bo Young Chang & Alper Odabasioglu & Radoslav Raykov, 2025. "Soumettre les contreparties centrales à des simulations de crise pour établir leurs plans de résolution," Staff Analytical Notes 2025-11fr, Bank of Canada.
    • Handle: RePEc:bca:bocsan:25-11fr
    DOI: 10.34989/san-2025-11
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    More about this item

    Keywords

    Institutions financières; Marchés financiers; Réglementation et politiques relatives au système financier; Stabilité financière; Systèmes de compensation et de règlement des paiements;
    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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