1.
PDF
wp10-29
Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings
Gauthier, Céline ; He, Zhongfang ; Souissi, Moez
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 |
Detailed record - Similar records
2.
PDF
dp10-11
Evaluating the Effect of the Bank of Canada's Conditional Commitment Policy
He, Zhongfang
The author evaluates the effect of the Bank of Canada's conditional commitment regarding the target overnight rate on longer-term market interest rates by taking into acc[...]
2010 | Text | Staff Discussion Paper - Document d’analyse du personnel |
Detailed record - Similar records
3.
PDF
wp09-31
Real Time Detection of Structural Breaks in GARCH Models
He, Zhongfang ; Maheu, John M.
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 |
Detailed record - Similar records