Credit risk management - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T10:33:17+00:00Credit Risk Transfer and Bank Insolvency Risk
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-59/
The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position.2017-12-19T14:37:59+00:00enCredit Risk Transfer and Bank Insolvency Risk2017-12-19Credit risk managementFinancial institutionsFinancial stabilityStaff Working Paper 2017-59https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-59.pdfCredit Risk Transfer and Bank Insolvency RiskMaarten van OordtDecember 2017GG2G21G28G3G32Complementing the Credit Risk Assessment of Financial Counterparties with Market-Based Indicators
https://www.bankofcanada.ca/2017/10/staff-analytical-note-2017-15/
The Bank’s internal credit risk assessment abilities are regularly enhanced. In this note, we present a recent innovation that extends the set of market-based indicators used in the credit risk assessment of financial counterparties.2017-10-17T15:02:19+00:00enComplementing the Credit Risk Assessment of Financial Counterparties with Market-Based Indicators2017-10-17Methodology for Assigning Credit Ratings to Sovereigns
https://www.bankofcanada.ca/2017/05/staff-discussion-paper-2017-7/
The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments.2017-05-12T11:49:28+00:00enMethodology for Assigning Credit Ratings to Sovereigns2017-05-12Credit risk managementForeign reserves managementStaff Discussion Paper 2017-7https://www.bankofcanada.ca/wp-content/uploads/2017/05/sdp2017-7.pdfMethodology for Assigning Credit Ratings to SovereignsPhilippe MullerJérôme BourqueMay 2017FF3F31GG2G24G28G3G32Multilateral Development Bank Credit Rating Methodology: Overcoming the Challenges in Assessing Relative Credit Risk in Highly Rated Institutions Based on Public Data
https://www.bankofcanada.ca/2017/05/staff-discussion-paper-2017-6/
The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of counterparties. Traditionally, foreign exchange reserve managers and other investors have relied on credit rating agencies (CRAs) as the main source for credit assessments.2017-05-12T11:33:49+00:00enMultilateral Development Bank Credit Rating Methodology: Overcoming the Challenges in Assessing Relative Credit Risk in Highly Rated Institutions Based on Public Data2017-05-12Credit risk managementForeign reserves managementStaff Discussion Paper 2017-6https://www.bankofcanada.ca/wp-content/uploads/2017/05/sdp2017-6.pdfMultilateral Development Bank Credit Rating Methodology: Overcoming the Challenges in Assessing Relative Credit Risk in Highly Rated Institutions Based on Public DataDavid Xiao ChenPhilippe MullerHawa WaguéMay 2017FF3F31GG2G24G28G3G32