Similar Search Results

Securitization under Asymmetric Information over the Business Cycle

Kuncl, Martin - Bank of Canada - 2015

This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly...

Persistent link: https://www.econbiz.de/10011170163

Credit, interest rate spreads and the monetary policy transmission mechanism : [proceedings of a conference held at the Bank of Canada, November 1994]

1995

Persistent link: https://www.econbiz.de/10000980805

Institutional mortgage lending in Canada : 1954-1968 ; an econometric analysis

Smith, Lawrence B. - 1973

Persistent link: https://www.econbiz.de/10000668601

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 … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … this paper, the authors examine two models recently developed for this purpose: a reduced-form model applied to credit …

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

Regulatory changes and financial structure : the case of Canada

Calmès, Christian - 2004

Persistent link: https://www.econbiz.de/10002175247

Affine Term-Structure Models: Theory and Implementation

Bolder, David Jamieson - Bank of Canada - 2001

Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the...

Persistent link: https://www.econbiz.de/10005808303

Uninsurable Investment Risks

Meh, Césaire A.; Quadrini, Vincenzo - Bank of Canada - 2004

The authors study a general-equilibrium economy in which agents have the ability to invest in a risky technology. The investment risk cannot be fully insured with optimal contracts, because shocks are private information. The authors show that the presence of these risks may lead to an...

Persistent link: https://www.econbiz.de/10005808352

Risk, Entropy, and the Transformation of Distributions

Reesor, R. Mark; McLeish, Don L. - Bank of Canada - 2002

Persistent link: https://www.econbiz.de/10005162442

Governance and Financial Fragility: Evidence from a Cross-Section of Countries

Francis, Michael - Bank of Canada - 2003

The author explores the role of governance mechanisms as a means of reducing financial fragility. First, he develops a simple theoretical general-equilibrium model in which instability arises due to an agency problem resulting from a conflict of interest between the borrower and lender. In...

Persistent link: https://www.econbiz.de/10005162491

Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events

García, Alejandro; Gençay, Ramazan - Bank of Canada - 2006

The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral. In particular, they study the risk and cost attributes of market risk measures by constructing a risk-cost frontier...

Persistent link: https://www.econbiz.de/10005162528