Moez Souissi - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T14:07:10+00:00Emergency Liquidity Facilities, Signalling and Funding Costs
https://www.bankofcanada.ca/2015/12/staff-working-paper-2015-44/
In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve’s discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities.2015-12-03T13:39:05+00:00enEmergency Liquidity Facilities, Signalling and Funding Costs2015-12-03Financial institutionsFinancial stabilityLender of last resortStaff Working Paper 2015-44https://www.bankofcanada.ca/wp-content/uploads/2015/12/wp2015-44.pdfEmergency Liquidity Facilities, Signalling and Funding CostsCéline GauthierAlfred LeharHéctor Pérez SaizMoez SouissiDecember 2015GG0G01G2G21G28Quantifying 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+00:00enQuantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach2015-08-07Financial stabilityFinancial system regulation and policiesWorking Paper 2015-32https://www.bankofcanada.ca/wp-content/uploads/2015/08/wp2015-32.pdfQuantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing ApproachKartik AnandCéline GauthierMoez SouissiAugust 2015CC7C72EE5E58GG0G01G2G21G28