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Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

Gungor, Sermin; Luger, Richard - Bank of Canada - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10010667177

Uninsurable investment risks

Meh, Césaire Assah; Quadrini, Vincenzo - 2004

Persistent link: https://www.econbiz.de/10002185890

Money demand and economic uncertainty

Atta-Mensah, Joseph - 2004

Persistent link: https://www.econbiz.de/10002129855

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

What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?

Gauthier, Céline; Gravelle, Toni; Liu, Xuezhi; … - Bank of Canada - 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/10009364337

Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings

Gauthier, Céline; He, Zhongfang; Souissi, Moez - Bank of Canada - 2010

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 Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …

Persistent link: https://www.econbiz.de/10008692892

Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

Gungor, Sermin; Luger, Richard - Bank of Canada - 2014

We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings …-series observations, since the estimate of the disturbance covariance matrix eventually becomes singular. The suggested residual bootstrap …

Persistent link: https://www.econbiz.de/10011071652

A Framework to Assess Vulnerabilities Arising from Household Indebtedness Using Microdata

Djoudad, Ramdane - Bank of Canada - 2012

Rising levels of household indebtedness have created concerns about the vulnerabilities of households to adverse economic shocks and the impact on financial stability. To assess these risks, the author presents a formal stress-testing framework that uses microdata to simulate how various...

Persistent link: https://www.econbiz.de/10009653922

Removal of the Unwinding Provisions in the Automated Clearing Settlement System: A Risk Assessment

Labelle, Nicolas; Taylor, Varya - Bank of Canada - 2014

and, therefore, that the ACSS does not pose systemic risk. …

Persistent link: https://www.econbiz.de/10010960404

Real Time Detection of Structural Breaks in GARCH Models

He, Zhongfang; Maheu, John M. - Bank of Canada - 2009

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 and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence...

Persistent link: https://www.econbiz.de/10008558612