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Estimating Settlement Risk and the Potential for Contagion in Canada's Automated Clearing Settlement System

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  • Carol Ann Northcott

Abstract

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Suggested Citation

  • Carol Ann Northcott, 2002. "Estimating Settlement Risk and the Potential for Contagion in Canada's Automated Clearing Settlement System," Staff Working Papers 02-41, Bank of Canada.
  • Handle: RePEc:bca:bocawp:02-41
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    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-41.pdf
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    References listed on IDEAS

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    1. Kuussaari, Harri, 1996. "Systemic risk in the finnish payment system : An empirical investigation," Research Discussion Papers 3/1996, Bank of Finland.
    2. C. H. Furfine, 1999. "Interbank exposures: quantifying the risk of contagion," BIS Working Papers 70, Bank for International Settlements.
    3. Xavier Freixas & Bruno Parigi & Jean-Charles Rochet, 2000. "Systemic risk, interbank relations, and liquidity provision by the central bank," Proceedings, Federal Reserve Bank of Cleveland, pages 611-640.
    4. James, Christopher, 1991. " The Losses Realized in Bank Failures," Journal of Finance, American Finance Association, vol. 46(4), pages 1223-1242, September.
    5. Franklin Allen & Douglas Gale, 1998. "Financial Contagion Journal of Political Economy," Center for Financial Institutions Working Papers 98-31, Wharton School Center for Financial Institutions, University of Pennsylvania.
    6. Angelini, P. & Maresca, G. & Russo, D., 1996. "Systemic risk in the netting system," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 853-868, June.
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    Cited by:

    1. Massimo Cirasino & Mario Guadamillas & José Antonio García & Fernando Montes-Negret, 2007. "Reforming Payments and Securities Settlement Systems in Latin America and the Caribbean," World Bank Publications, The World Bank, number 6630, 05-2018.
    2. Docherty, Peter & Wang, Gehong, 2010. "Using synthetic data to evaluate the impact of RTGS on systemic risk in the Australian payments system," Journal of Financial Stability, Elsevier, vol. 6(2), pages 103-117, June.
    3. Jonathan Chiu & Alexandra Lai, 2007. "Modelling Payments Systems: A Review of the Literature," Staff Working Papers 07-28, Bank of Canada.
    4. Nicolas Labelle & Varya Taylor, 2014. "Removal of the Unwinding Provisions in the Automated Clearing Settlement System: A Risk Assessment," Discussion Papers 14-4, Bank of Canada.
    5. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.
    6. Iori Giulia & Kapar Burcu & Olmo Jose, 2015. "Bank characteristics and the interbank money market: a distributional approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(3), pages 249-283, June.
    7. Peter Docherty & Gehong Wang, 2009. "A Revided Exposition of the Methodology for Testing Payments Systems Risk," Working Paper Series 159, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    8. Eric Santor, 2007. "Contagion and the composition of Canadian banks' foreign asset portfolios: do financial crises matter?," CGFS Papers chapters,in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 32-52 Bank for International Settlements.
    9. repec:taf:quantf:v:17:y:2017:i:9:p:1435-1445 is not listed on IDEAS

    More about this item

    Keywords

    Financial institutions; Payments; clearing and settlements systems;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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