Financial stability - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T08:56:58+00:00Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
https://www.bankofcanada.ca/2006/05/working-paper-2006-17/
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.2006-05-03T12:15:08+00:00enRisk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events2006-05-03Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsWorking Paper 2006-17 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-17.pdfRisk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market EventsAlejandro GarcíaRamazan GençayMay 2006CC1GG0G1