Tail risk in the Automated Clearing Settlement System (ACSS)

Published: September 17, 2018

Payments Canada has released a new discussion paper that studies modeling and measurement of tail risk in a deferred net settlement system environment such as the ACSS. Underpinning this paper is a challenging real-world problem faced by Payments Canada and its membership as we shift to a collateralized ACSS/SOE environment. The paper lends early insight into how modern risk-management technologies can help inform a solution to this problem, and also provides guidance for further exploration.