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1.
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We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail ris[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Stil[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed fr[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan,[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both [...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the curre[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in th[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds.
We follow the information-share approaches introduced[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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