Maarten van Oordt - Latest
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Complementing the Credit Risk Assessment of Financial Counterparties with Market-Based Indicators
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. -
Implementing Market-Based Indicators to Monitor Vulnerabilities of Financial Institutions
This note introduces several market-based indicators and examines how they can further inform the Bank of Canada’s vulnerability assessment of Canadian financial institutions. Market-based indicators of leverage suggest that the solvency risk for major Canadian banks has increased since the beginning of the oil-price correction in the second half of 2014.