Ramazan Gençay - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T04:36:41+00:00Collateral Valuation for Extreme Market Events
https://www.bankofcanada.ca/wp-content/uploads/2012/01/fsr-1206-garcia.pdf
2012-01-26T15:57:22+00:00enCollateral Valuation for Extreme Market Events2012-01-26Collateral Portfolios and Adverse Dependence
https://www.bankofcanada.ca/wp-content/uploads/2012/01/fsr-1207-garcia.pdf
2012-01-25T10:43:08+00:00enCollateral Portfolios and Adverse Dependence2012-01-25Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures
https://www.bankofcanada.ca/2007/04/working-paper-2007-25/
We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs.2007-04-01T12:13:03+00:00enManaging Adverse Dependence for Portfolios of Collateral in Financial Infrastructures2007-04-01Econometric and statistical methodsFinancial marketsFinancial stabilityWorking Paper 2007-25 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-25.pdfManaging Adverse Dependence for Portfolios of Collateral in Financial InfrastructuresAlejandro GarcíaRamazan GençayApril 2007CC1C10GG0G00G1G10Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
https://www.bankofcanada.ca/2006/05/working-paper-2006-17/
The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral.2006-05-03T12:15:08+00:00enRisk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events2006-05-03Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsWorking Paper 2006-17 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-17.pdfRisk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market EventsAlejandro GarcíaRamazan GençayMay 2006CC1GG0G1