G00 - General - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-28T21:06:51+00:00Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures
https://www.bankofcanada.ca/2007/04/working-paper-2007-25/
We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs.2007-04-01T12:13:03+00:00enManaging Adverse Dependence for Portfolios of Collateral in Financial Infrastructures2007-04-01Econometric and statistical methodsFinancial marketsFinancial stabilityWorking Paper 2007-25 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-25.pdfManaging Adverse Dependence for Portfolios of Collateral in Financial InfrastructuresAlejandro GarcíaRamazan GençayApril 2007CC1C10GG0G00G1G10