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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
We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks. The banking sector in Canada provides a...
Persistent link: https://www.econbiz.de/10010723573
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Credit constraints and consumer spending
Beaton, Kimberly - 2009
This paper examines the relationship between aggregate consumer spending and credit availability in the United States …. The author finds that consumer spending falls (rises) in response to a reduction (increase) in credit availability …. Moreover, she provides a formal assessment of the possibility that credit availability is particularly important for consumer …
Persistent link: https://www.econbiz.de/10003933295
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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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The Impact of Liquidity on Bank Profitability
Bordeleau, Étienne; Graham, Christopher - Bank of Canada - 2010
’ ability to generate revenues, increase capital and extend credit. …
Persistent link: https://www.econbiz.de/10008765829
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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
Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms. Knowledge of such data is required to assess the impact of shocks on the balance sheets of financial...
Persistent link: https://www.econbiz.de/10010617510
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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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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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Analyzing Default Risk and Liquidity Demand during a Financial Crisis: The Case of Canada
Allen, Jason; Hortaçsu, Ali; Kastl, Jakub - Bank of Canada - 2011
This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default …
Persistent link: https://www.econbiz.de/10009326649
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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
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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...
Persistent link: https://www.econbiz.de/10008692892