E - Macroeconomics and Monetary Economics - Bank of Canada
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2024-03-28T09:11:07+00:00
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Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach
https://www.bankofcanada.ca/2015/08/working-paper-2015-32/
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.
2015-08-07T11:53:48+00:00
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Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach
2015-08-07
Financial stability
Financial system regulation and policies
Working Paper 2015-32
https://www.bankofcanada.ca/wp-content/uploads/2015/08/wp2015-32.pdf
Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach
Kartik Anand
CĂ©line Gauthier
Moez Souissi
August 2015
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