C - Mathematical and Quantitative Methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T16:04:16+00:00Dating Systemic Financial Stress Episodes in the EU Countries
https://www.bankofcanada.ca/2016/03/staff-working-paper-2016-11/
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index.2016-03-18T08:34:32+00:00enDating Systemic Financial Stress Episodes in the EU Countries2016-03-18Business fluctuations and cyclesCentral bank researchEconometric and statistical methodsEconomic modelsFinancial marketsFinancial stabilityFinancial system regulation and policiesMonetary and financial indicatorsStaff Working Paper 2016-11https://www.bankofcanada.ca/wp-content/uploads/2016/03/swp2016-11.pdfDating Systemic Financial Stress Episodes in the EU CountriesBenjamin KlausTuomas PeltonenThibaut DupreyMarch 2016CC5C54GG0G01G1G15Measuring Systemic Risk Across Financial Market Infrastructures
https://www.bankofcanada.ca/2016/03/staff-working-paper-2016-10/
We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant.2016-03-15T08:37:05+00:00enMeasuring Systemic Risk Across Financial Market Infrastructures2016-03-15Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsStaff Working Paper 2016-10https://www.bankofcanada.ca/wp-content/uploads/2016/03/swp2016-10.pdfMeasuring Systemic Risk Across Financial Market InfrastructuresFuchun LiHéctor Pérez SaizMarch 2016CC5C58GG2G21G23