Credit risk management - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T07:08:21+00:00Composite 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 2019CC2C23C25C5C58GG2G24The Age of Leverage
https://www.bankofcanada.ca/2019/03/the-age-of-leverage/
Senior Deputy Governor Carolyn A. Wilkins discusses how high leverage is both a headwind to global growth and a vulnerability in the global financial system.2019-03-14T11:28:46+00:00The Age of Leverage2019-03-14Carolyn A. WilkinsMacroprudential Policy with Capital Buffers
https://www.bankofcanada.ca/2019/02/staff-working-paper-2019-8/
The countercyclical capital buffer is part of Basel III, the set of regulatory measures developed in response to the financial crisis of 2007–09. This study focuses on how time-varying capital buffers can address inefficiencies in economies with endogenous financial crises.2019-02-20T09:14:06+00:00enMacroprudential Policy with Capital Buffers2019-02-20Business fluctuations and cyclesCredit and credit aggregatesCredit risk managementFinancial stabilityFinancial system regulation and policiesLender of last resortStaff Working Paper 2019-8https://www.bankofcanada.ca/wp-content/uploads/2019/02/swp2019-8.pdfMacroprudential Policy with Capital BuffersJosef SchrothFebruary 2019EE1E13E3E32E4E44