October 3, 2006
Credit and credit aggregates, Lender of last resort, Monetary and financial indicators, Financial institutions, Financial markets, International financial markets, Monetary policy implementation, Financial system regulation and policies, Financial services, Financial stability, Market structure and pricing, Payment clearing and settlement systems
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Credit in a Tiered Payments System
Payments systems are typically characterized by some degree of tiering, with upstream firms (clearing agents) providing settlement accounts to downstream institutions that wish to clear and settle payments indirectly in these systems (indirect clearers). -
Are Canadian Banks Efficient? A Canada–U.S. Comparison
The authors compare the efficiency of Canada's largest banks with U.S. commercial banks over the past 20 years. Efficiency is measured in three ways. -
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. -
Multinationals and Exchange Rate Pass-Through
The authors examine the impact of multinational enterprises (MNEs) on exchange rate pass-through in an environment where an MNE engages in Cournot (quantity) competition with domestic and foreign rivals. -
Estimation of the Default Risk of Publicly Traded Canadian Companies
Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model. -
Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach
The author explores a fundamental trade-off that occurs between settlement delay and intraday liquidity in the daily operation of large-value payment systems (LVPS), with specific application to Canada's Large Value Transfer System (LVTS). -
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
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. -
Benchmark Index of Risk Appetite
Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets. -
LVTS, the Overnight Market, and Monetary Policy
Operational events in the Large Value Transfer System (LVTS) almost always result in a disturbance of the regular flow of payments.
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