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We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbanc[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Following[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution t[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast an[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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Nous construisons un cadre d'analyse formel pour simuler l'impact de divers chocs économiques sur le ratio du service de la dette des ménages, en utilisant des données d'[...]
2009 | Texte | Document de travail du personnel - Staff Working Paper |
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6.
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A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios sh[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful informa[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions. The authors focus on one set of entiti[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Their interest lies in the fact that the dynam[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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The authors examine evidence of long- and short-run co-movement in Canadian sectoral output data. Their framework builds on a vector-error-correction representation that [...]
2003 | Text | Staff Working Paper - Document de travail du personnel |
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