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  • Search: person:"Gauthier, Céline"
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Year of publication
Subject
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Financial stability 10 Theorie 9 Theory 8 Financial system regulation and policies 7 Kanada 7 Risiko 7 Bankenliquidität 6 Canada 6 Risk 6 Ansteckungseffekt 5 Bank liquidity 5 Financial crisis 5 Finanzkrise 5 Finanzmarkt 5 Risk management 5 Systemic risk 5 Bankenaufsicht 4 Contagion effect 4 Financial market 4 Risikomanagement 4 Systemrisiko 4 Bank regulation 3 Bankenkrise 3 Banking crisis 3 Banking supervision 3 Kreditrisiko 3 Liquidity 3 Liquidität 3 Regulierung 3 Bank risk 2 Bankenreform 2 Bankenregulierung 2 Bankrisiko 2 Basel Accord 2 Basler Akkord 2 Capital requirements 2 Cointegration 2 Credit risk 2 Euro area 2 Eurozone 2
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Online availability
All
Free 28 Undetermined 3
Type of publication
All
Book / Working Paper 30 Article 18
Type of publication (narrower categories)
All
Working Paper 13 Arbeitspapier 7 Graue Literatur 7 Non-commercial literature 7 Article in journal 6 Aufsatz in Zeitschrift 6 Aufsatz im Buch 2 Book section 2
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Language
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English 38 Undetermined 10
Author
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Gauthier, Céline 43 Souissi, Moez 23 Lehar, Alfred 9 Anand, Kartik 5 Gauthier, Celine 5 Liu, Xuezhi 5 Poitevin, Michel 5 Djoudad, Ramdane 3 Gravelle, Toni 3 He, Zhongfang 3 Li, Fuchun 3 Tessier, David 3 Tomura, Hajime 3 Gai, Prasanna 2 González, Patrick 2 Graham, Christopher 2 Li, Fu Chun 2 Liu, Ying 2 Paquin, Jean-Paul 2 Pérez Saiz, Héctor 2 St-Amant, Pierre 2 Bandt, Olivier de 1 Gai, Prasanna S. 1 Gonzalez, Patrick 1 Morin, Pierre-Paul 1 Traclet, Virginie 1
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Institution
All
Bank of Canada 8 Money Macro and Finance Research Group 2 Bank for International Settlements 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Finance Canada, Government of Canada 1
Published in...
All
Working Papers / Bank of Canada 6 Staff working paper / Bank of Canada 4 Working paper / Bank of Canada 4 Bank of Canada Review 3 Bank of Canada Working Paper 3 Bank of Canada review 2 Bundesbank Discussion Paper 2 Investigating the relationship between the financial and real economy 2 Journal of economic theory 2 Journal of financial intermediation 2 Money Macro and Finance (MMF) Research Group Conference 2004 2 Bank of Canada Discussion Paper 1 Bank of Canada Staff Working Paper 1 CIRANO Working Papers 1 Cahier / Département de Sciences Économiques, Université de Montréal 1 Discussion Papers / Bank of Canada 1 Discussion paper 1 International Journal of Central Banking 1 International journal of central banking : IJCB 1 International journal of project management : the journal of The International Project Management Association 1 Journal of Economic Theory 1 Journal of Financial Intermediation 1 Project management journal : PMJ 1 Revisiting the case for flexible exchange rates : proceedings of a conference held by the Bank of Canada, November 2000 1 Staff discussion paper 1 Working Papers-Department of Finance Canada 1
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Source
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ECONIS (ZBW) 21 RePEc 18 EconStor 6 OLC EcoSci 3
Showing 1 - 10 of 48
Cover Image
Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna S.; … - 2016
We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...
Persistent link: https://www.econbiz.de/10011520978
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Cover Image
Capturing Information Contagion in a Stress-Testing Framework
Anand, Kartik - 2016
We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...
Persistent link: https://www.econbiz.de/10012981899
Saved in:
Cover Image
Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016
We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...
Persistent link: https://www.econbiz.de/10011520642
Saved in:
Cover Image
Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach
Anand, Kartik; Gauthier, Céline; Souissi, Moez - 2015
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined. We highlight how coordination failure between a bank's creditors and adverse selection in the secondary market for the bank's assets interact,...
Persistent link: https://www.econbiz.de/10011396708
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Emergency liquidity facilities, signalling and funding Costs
Gauthier, Céline; Lehar, Alfred; Pérez Saiz, Héctor; … - 2015
In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve's discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model...
Persistent link: https://www.econbiz.de/10011481492
Saved in:
Cover Image
Quantifying contagion risk in funding markets : a model-based stress-testing approach
Anand, Kartik; Gauthier, Céline; Souissi, Moez - 2015
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined. We highlight how coordination failure between a bank's creditors and adverse selection in the secondary market for the bank's assets interact,...
Persistent link: https://www.econbiz.de/10011304764
Saved in:
Cover Image
Emergency liquidity facilities, signalling and funding Costs
Gauthier, Céline; Lehar, Alfred; Pérez Saiz, Héctor; … - 2015
In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve's discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model...
Persistent link: https://www.econbiz.de/10011408663
Saved in:
Cover Image
Introducing Funding Liquidity Risk in a Macro Stress-Testing Framework
Gauthier, Céline; Souissi, Moez; Liu, Xuezhi - In: International Journal of Central Banking 10 (2014) 4, pp. 105-142
The main contribution of this paper is to introduce a funding liquidity component `a la Morris and Shin (2009) in a stresstesting framework. As a result, funding liquidity risk arises as an endogenous outcome of the interactions between market liquidity and solvency risks, and banks’ liquidity...
Persistent link: https://www.econbiz.de/10011188957
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Understanding Systemic Risk in the Banking Sector: A MacroFinancial Risk Assessment Framework
Gauthier, Céline; Souissi, Moez - In: Bank of Canada Review 2012 (2012) Spring, pp. 29-38
The MacroFinancial Risk Assessment Framework (MFRAF) models the interconnections between liquidity and solvency in a financial system, with multiple institutions linked through an interbank network. The MFRAF integrates funding liquidity risk as an endogenous outcome of the interactions between...
Persistent link: https://www.econbiz.de/10010601651
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What matters in determining capital surcharges for systemically important financial institutions?
Gauthier, Céline; Gravelle, Toni; Liu, Xuezhi; … - 2011
One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with their systemic importance. Given the complexity of the financial system and the resulting difficulties in measuring systemic...
Persistent link: https://www.econbiz.de/10010289699
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