C - Mathematical and Quantitative Methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:23:47+00:00Assessing the Resilience of the Canadian Banking System
https://www.bankofcanada.ca/2019/05/staff-analytical-note-2019-16/
The stability of the Canadian financial system, as well as its ability to support the Canadian economy, depends on the ability of financial institutions to absorb and manage major shocks. This is especially true for large banks, which perform services essential to the Canadian economy.2019-05-16T06:00:33+00:00enAssessing the Resilience of the Canadian Banking System2019-05-16Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects
https://www.bankofcanada.ca/2019/05/staff-working-paper-2019-16/
Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals.2019-05-02T14:10:05+00:00enComposite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects2019-05-02Credit risk managementEconometric and statistical methodsEconomic modelsStaff Working Paper 2019-16https://www.bankofcanada.ca/wp-content/uploads/2019/05/swp2019-16.pdfComposite Likelihood Estimation of an Autoregressive Panel Probit Model with Random EffectsKerem TuzcuogluMay 2019CC2C23C25C5C58GG2G24