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Measures of aggregate credit conditions and their potential use by central banks

García, Alejandro; Prokopiw, Andrei - 2009

Understanding the nature of credit risk has important implications for financial stability. Since authorities notably, central banks focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of aggregate...

Persistent link: https://www.econbiz.de/10003933233

Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks

García, Alejandro; Prokopiw, Andrei - Bank of Canada - 2009

Understanding the nature of credit risk has important implications for financial stability. Since authorities—notably, central banks—focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of...

Persistent link: https://www.econbiz.de/10008549271

CoMargin

Chaker, Selma; Meddahi, Nour - Bank of Canada - 2013

We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes market...

Persistent link: https://www.econbiz.de/10010849953

What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

Alquist, Ron; Bauer, Gregory; Rios, Antonio Diez de los - Bank of Canada - 2014

Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures...

Persistent link: https://www.econbiz.de/10010960394

Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness

Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - Bank of Canada - 2009

, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and … risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that …

Persistent link: https://www.econbiz.de/10005256657

Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

Feunou, Bruno; Fontaine, Jean-Sébastien; Taamouti, … - Bank of Canada - 2012

. We also consider the term structure of higher-order risks as measured by skewness and kurtosis and still find that two …

Persistent link: https://www.econbiz.de/10010548355

Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate

Garcia, Alejandro; Prokopiw, Andrei - Bank of Canada - 2010

exchange rate movements (i.e., the skewness). …

Persistent link: https://www.econbiz.de/10008631205

Collateral and Credit Supply

Atta-Mensah, Joseph - Bank of Canada - 2003

The author examines the role of collateral in an environment where lenders and borrowers possess identical information and similar beliefs about its future value. Using option-pricing techniques, he shows that a secured loan contract is equivalent to a regular bond and an embedded option to the...

Persistent link: https://www.econbiz.de/10005673263

Price Discovery in Canadian Government Bond Futures and Spot Markets

Chung, Christopher; Campbell, Bryan; Hendry, Scott - Bank of Canada - 2007

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 by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative...

Persistent link: https://www.econbiz.de/10005673292

Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model

Knight, John; Li, Fuchun; Yuan, Mingwei - Bank of Canada - 1999

pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non … dimensions are also obtained. Based on U.S. data, the non-parametric prices of the bonds and bond options are computed and …

Persistent link: https://www.econbiz.de/10005673331