Jianjian Jin - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T11:36:23+00:00Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves
https://www.bankofcanada.ca/wp-content/uploads/2013/05/boc-review-spring13-rivadeneyra.pdf
The Bank of Canada recently developed an asset-liability-matching model to aid in the management of Canada’s foreign exchange reserves. The model allows policy-makers at the Bank and the Department of Finance to analyze asset-allocation and funding-mix decisions by quantifying both the risk-return and liquidity trade-offs for the assets, as well as the risk-cost trade-offs of the funding liabilities.2013-05-16T07:37:03+00:00enModelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves2013-05-16Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
https://www.bankofcanada.ca/2013/04/working-paper-2013-12/
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.2013-04-23T10:55:41+00:00enJump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics2013-04-23Asset pricingEconomic modelsWorking Paper 2013-12https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-12.pdfJump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility DynamicsJianjian JinApril 2013GG1G12G17