G24 - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T20:42:05+00:00Crowdfunding and Risk
https://www.bankofcanada.ca/2023/05/staff-working-paper-2023-28/
Crowdfunding may enable unique products to reach the consumer market. I model a crowdfunding technology that publicly screens consumer demand early in the production process. In this model, entrepreneurs like crowdfunding for risky projects where demand is uncertain, but not for large, safe projects or for projects where production costs are uncertain.2023-05-29T15:44:01+00:00enCrowdfunding and Risk2023-05-29Digital currencies and fintechFinancial marketsFinancial servicesStaff Working Paper 2023-28https://www.bankofcanada.ca/wp-content/uploads/2023/05/swp2023-28.pdfStaff Working Paper 2023-28David CimonMay 2023GG2G21G24G3G32Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification
https://www.bankofcanada.ca/2022/05/staff-working-paper-2022-24/
We provide empirical evidence of effects to the aggregate economy from surprises about financial intermediaries’ net worth based on a high-frequency identification strategy. We estimate that news of a 1% decline in intermediaries’ net worth leads to a 0.2%–0.4% decrease in the market value of nonfinancial firms.2022-05-20T15:46:50+00:00enFinancial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification2022-05-20Asset pricingBusiness fluctuations and cyclesCredit and credit aggregatesFinancial institutionsFinancial marketsFinancial system regulation and policiesMonetary and financial indicatorsStaff Working Paper 2022-24https://www.bankofcanada.ca/wp-content/uploads/2022/05/swp2022-24.pdfStaff Working Paper 2022-24Pablo OttonelloWenting SongMay 2022EE3E32E4E44E5E51GG0G01G1G12G2G21G23G24G3G32Updated Methodology for Assigning Credit Ratings to Sovereigns
https://www.bankofcanada.ca/2021/11/staff-discussion-paper-2021-16/
We update the Bank of Canada’s credit rating methodology for sovereigns, including our approach to assessing their fiscal position and monetary policy flexibility. We also explicitly consider climate-related factors.2021-11-15T15:21:31+00:00enUpdated Methodology for Assigning Credit Ratings to Sovereigns2021-11-15Credit risk managementForeign reserves managementStaff Discussion Paper 2021-16https://www.bankofcanada.ca/wp-content/uploads/2021/11/sdp2021-16.pdfStaff Discussion Paper 2021-16Karim McDanielsNico PaleschSanjam SuriZacharie QuivigerJohn WalshNovember 2021FF3F31GG2G24G28G3G32Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects
https://www.bankofcanada.ca/2019/05/staff-working-paper-2019-16/
Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals.2019-05-02T14:10:05+00:00enComposite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects2019-05-02Credit risk managementEconometric and statistical methodsEconomic modelsStaff Working Paper 2019-16https://www.bankofcanada.ca/wp-content/uploads/2019/05/swp2019-16.pdfComposite Likelihood Estimation of an Autoregressive Panel Probit Model with Random EffectsKerem TuzcuogluMay 2019CC2C23C25C5C58GG2G24Alternative Futures for Government of Canada Debt Management
https://www.bankofcanada.ca/2018/12/staff-discussion-paper-2018-15/
This paper presents four blue-sky ideas for lowering the cost of the Government of Canada’s debt without increasing the debt’s risk profile. We argue that each idea would improve the secondary-market liquidity of government debt, thereby increasing the demand for government bonds and thus lowering their cost at issuance.2018-12-06T14:49:48+00:00enAlternative Futures for Government of Canada Debt Management2018-12-06Debt managementFinancial marketsMarket structure and pricingStaff Discussion Paper 2018-15https://www.bankofcanada.ca/wp-content/uploads/2018/12/sdp2018-15.pdfAlternative Futures for Government of Canada Debt ManagementCorey GarriottSophie LefebvreGuillaume NolinFrancisco RivadeneyraAdrian WaltonDecember 2018GG1G12G2G24HH6H63Speed Segmentation on Exchanges: Competition for Slow Flow
https://www.bankofcanada.ca/2018/01/staff-working-paper-2018-3/
In 2015, TSX Alpha, a Canadian stock exchange, implemented a speed bump for marketable orders and an inverted fee structure as part of a redesign. We find no evidence that this redesign impacted market-wide measures of trading costs or contributed appreciably to segmenting retail order flow away from other Canadian venues with a maker-taker fee structure.2018-01-09T10:27:29+00:00enSpeed Segmentation on Exchanges: Competition for Slow Flow2018-01-09Financial marketsMarket structure and pricingStaff Working Paper 2018-3https://www.bankofcanada.ca/wp-content/uploads/2018/01/swp2018-3.pdfSpeed Segmentation on Exchanges: Competition for Slow FlowLisa AndersonEmad AndrewsBaiju DevaniMichael MuellerAdrian WaltonJanuary 2018GG1G14G2G24Complementing the Credit Risk Assessment of Financial Counterparties with Market-Based Indicators
https://www.bankofcanada.ca/2017/10/staff-analytical-note-2017-15/
The Bank’s internal credit risk assessment abilities are regularly enhanced. In this note, we present a recent innovation that extends the set of market-based indicators used in the credit risk assessment of financial counterparties.2017-10-17T15:02:19+00:00enComplementing the Credit Risk Assessment of Financial Counterparties with Market-Based Indicators2017-10-17Methodology for Assigning Credit Ratings to Sovereigns
https://www.bankofcanada.ca/2017/05/staff-discussion-paper-2017-7/
The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments.2017-05-12T11:49:28+00:00enMethodology for Assigning Credit Ratings to Sovereigns2017-05-12Credit risk managementForeign reserves managementStaff Discussion Paper 2017-7https://www.bankofcanada.ca/wp-content/uploads/2017/05/sdp2017-7.pdfMethodology for Assigning Credit Ratings to SovereignsPhilippe MullerJérôme BourqueMay 2017FF3F31GG2G24G28G3G32Multilateral Development Bank Credit Rating Methodology: Overcoming the Challenges in Assessing Relative Credit Risk in Highly Rated Institutions Based on Public Data
https://www.bankofcanada.ca/2017/05/staff-discussion-paper-2017-6/
The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of counterparties. Traditionally, foreign exchange reserve managers and other investors have relied on credit rating agencies (CRAs) as the main source for credit assessments.2017-05-12T11:33:49+00:00enMultilateral Development Bank Credit Rating Methodology: Overcoming the Challenges in Assessing Relative Credit Risk in Highly Rated Institutions Based on Public Data2017-05-12Credit risk managementForeign reserves managementStaff Discussion Paper 2017-6https://www.bankofcanada.ca/wp-content/uploads/2017/05/sdp2017-6.pdfMultilateral Development Bank Credit Rating Methodology: Overcoming the Challenges in Assessing Relative Credit Risk in Highly Rated Institutions Based on Public DataDavid Xiao ChenPhilippe MullerHawa WaguéMay 2017FF3F31GG2G24G28G3G32Broker Routing Decisions in Limit Order Markets
https://www.bankofcanada.ca/2016/11/staff-working-paper-2016-50/
The primary focus of this paper is to study conflict of interest in the brokerage market. Brokers face a conflict of interest when the commissions they receive from investors differ from the costs imposed by different trading venues.2016-11-18T13:13:49+00:00enBroker Routing Decisions in Limit Order Markets2016-11-18Financial marketsMarket structure and pricingStaff Working Paper 2016-50https://www.bankofcanada.ca/wp-content/uploads/2016/11/swp2016-50.pdfBroker Routing Decisions in Limit Order MarketsDavid CimonNovember 2016GG2G24G28