1.
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 |
2.
Les taux de défaut sont des séries couramment utilisées dans les simulations de crise. Au Canada comme dans beaucoup d’autres pays, on ne dispose pas de séries rétrospect[...]
2013 | Texte | Staff Discussion Paper - Document d’analyse du personnel |
3.
Many studies in macroeconomics argue that financial frictions do not amplify the impacts of real shocks. This finding is based on models without endogenous default on loa[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
4.
This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuat[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
5.
Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various ty[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
6.
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: C[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
7.
Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
8.
We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of g[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
9.
The days when secrecy and opacity were the bywords of central banking are gone. The advent of inflation targeting in the early 1990s acted as the catalyst for enhanced tr[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
10.
Rising levels of household indebtedness have created concerns about the vulnerabilities of households to adverse economic shocks and the impact on financial stability. To[...]
2012 | Text | Staff Discussion Paper - Document d’analyse du personnel |