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Funding Advantage and Market Discipline in the Canadian Banking Sector
Beyhaghi, Mehdi; D'Souza, Chris; Roberts, Gordon S. - Bank of Canada - 2013
have a funding advantage over small banks after controlling for bank-specific and market risk factors. Working with hand …
Persistent link: https://www.econbiz.de/10010723573
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Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector
Misina, Miroslav; Tessier, David; Dey, Shubhasis - Bank of Canada - 2006
Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions. The authors focus on one set of entities--the Canadian banking sector--and investigate losses in the loans portfolio of this sector as a function of changing...
Persistent link: https://www.econbiz.de/10005808305
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Estimation of the Default Risk of Publicly Traded Canadian Companies
Dionne, Georges; Laajimi, Sadok; Mejri, Sofiane; … - Bank of Canada - 2006
Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model. Merton's structural model has the benefit of being responsive, since the probabilities of default can continually be updated with the evolution of firms' asset...
Persistent link: https://www.econbiz.de/10005162405
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Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne
Djoudad, Ramdane; Bordeleau, Étienne - Bank of Canada - 2013
historical series available for sectoral default rates on bank loans to firms. Knowledge of such data is required to assess the …
Persistent link: https://www.econbiz.de/10010617510
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The Impact of Liquidity on Bank Profitability
Bordeleau, Étienne; Graham, Christopher - Bank of Canada - 2010
The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are … authors analyse the impact of liquid asset holdings on bank profitability for a sample of large U.S. and Canadian banks … that this relationship varies depending on a bank’s business model and the state of the economy. These results are …
Persistent link: https://www.econbiz.de/10008765829
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Non-Linearities, Model Uncertainty, and Macro Stress Testing
Misina, Miroslav; Tessier, David - Bank of Canada - 2008
A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios should be based on "rare but plausible" events that have either resulted in vulnerabilities in the past or could do so in the...
Persistent link: https://www.econbiz.de/10005673374
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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
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Firms Dynamics, Bankruptcy Laws and Total Factor Productivity
Tomura, Hajime - Bank of Canada - 2007
This paper analyzes endogenous fluctuations in total factor productivity (TFP) in a dynamic general equilibrium model with heterogeneous agents, and illustrates the interaction of credit market frictions, asset prices, the entry and exit of firms, and fluctuations in TFP in response to...
Persistent link: https://www.econbiz.de/10005808340
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Financial Market Imperfection, Overinvestment,and Speculative Precaution
Calmès, Christian - Bank of Canada - 2004
The author uses panel data to assess the sensitivity of investment to cash flow in non-financial firms, taking into account the role their financial health plays in investment decisions. Firms are categorized using a method called the Z-score, a contemporaneous indicator of financial stress that...
Persistent link: https://www.econbiz.de/10005162394
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Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads
Chen, Hui; Xu, Yu; Yang, Jun - Bank of Canada - 2012
We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as well as their joint impact on the term structure of credit spreads. Our model allows for time variation and lumpiness in the maturity structure. Relative to short-term debt,...
Persistent link: https://www.econbiz.de/10010570094