G33 - Bankruptcy; Liquidation - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T15:03:14+00:00Considerations for the allocation of non-default losses by financial market infrastructures
https://www.bankofcanada.ca/2022/11/staff-analytical-note-2022-16/
Non-default losses of financial market infrastructures (FMIs) have gained attention due to their potential impacts on FMIs and FMI participants, and the lack of a common approach to address them. A key question is, who should absorb these losses?2022-11-03T12:32:09+00:00enConsiderations for the allocation of non-default losses by financial market infrastructures2022-11-03A Q-Theory of Banks
https://www.bankofcanada.ca/2021/09/staff-working-paper-2021-44/
Using stock market data on banks, we show that the book value of loans recognizes losses with a delay. This delayed accounting is important for regulation because the requirements regulators impose are based on book values.2021-09-24T14:28:26+00:00enA Q-Theory of Banks2021-09-24Financial institutionsFinancial stabilityFinancial system regulation and policiesStaff Working Paper 2021-44https://www.bankofcanada.ca/wp-content/uploads/2021/09/swp2021-44.pdfStaff Working Paper 2021-44Juliane BeganauSaki BigioJeremy MajerovitzMatías VieyraSeptember 2021EE4E44GG2G21G3G32G33COVID-19’s impact on the financial health of Canadian businesses: An initial assessment
https://www.bankofcanada.ca/2021/05/staff-analytical-note-2021-8/
Despite COVID-19 challenges, bold policy measures in Canada have helped businesses manage cash flow pressures and kept insolvency filings low. But the impact of the pandemic has been uneven, and the financial health of some firms may further deteriorate over the next year.2021-05-10T10:00:09+00:00enCOVID-19’s impact on the financial health of Canadian businesses: An initial assessment2021-05-10A Simple Method for Extracting the Probability of Default from American Put Option Prices
https://www.bankofcanada.ca/2020/04/staff-working-paper-2020-15/
A put option is a financial contract that gives the holder the right to sell an asset at a specific price by (or at) a specific date. A put option can therefore provide its holder insurance against a large drop in the stock price. This makes the prices of put options an ideal source of information for a market-based measure of the probability of a firm’s default.2020-04-20T13:31:12+00:00enA Simple Method for Extracting the Probability of Default from American Put Option Prices2020-04-20Asset pricingFinancial marketsMarket structure and pricingStaff Working Paper 2020-15https://www.bankofcanada.ca/wp-content/uploads/2020/04/swp2020-15.pdfA Simple Method for Extracting the Probability of Default from American Put Option PricesBo Young ChangGreg OrosiApril 2020GG1G13G3G33Equity Option-Implied Probability of Default and Equity Recovery Rate
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-58/
There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability.2016-12-15T12:23:13+00:00enEquity Option-Implied Probability of Default and Equity Recovery Rate2016-12-15Asset pricingFinancial marketsMarket structure and pricingStaff Working Paper 2016-58https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp2016-58.pdfEquity Option-Implied Probability of Default and Equity Recovery RateBo Young ChangGreg OrosiDecember 2016GG1G13G3G33Funding Advantage and Market Discipline in the Canadian Banking Sector
https://www.bankofcanada.ca/2013/12/working-paper-2013-50/
We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks.2013-12-23T07:44:08+00:00enFunding Advantage and Market Discipline in the Canadian Banking Sector2013-12-23Financial institutionsInterest ratesWorking Paper 2013-50https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-50.pdfFunding Advantage and Market Discipline in the Canadian Banking SectorMehdi BeyhaghiChris D'SouzaGordon S. RobertsDecember 2013GG0G01G2G21G28G3G32G33Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne
https://www.bankofcanada.ca/2013/03/discussion-paper-2013-2/
Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.2013-03-07T09:29:18+00:00frMéthodologie de construction de séries de taux de défaut pour l’industrie canadienne2013-03-07Econometric and statistical methodsFinancial institutionsFinancial stabilityDiscussion Paper 2013-02https://www.bankofcanada.ca/wp-content/uploads/2013/03/dp2013-02.pdfMéthodologie de construction de séries de taux de défaut pour l’industrie canadienneRamdane DjoudadÉtienne BordeleauMarch 2013CC1C13C18GG2G21G3G33Systematic Risk, Debt Maturity and the Term Structure of Credit Spreads
https://www.bankofcanada.ca/2012/08/working-paper-2012-27/
We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as well as their joint impact on the term structure of credit spreads. Our model allows for time variation and lumpiness in the maturity structure. Relative to short-term debt, long-term debt is less prone to rollover risks, but its illiquidity raises the costs of financing.2012-08-27T11:03:38+00:00enSystematic Risk, Debt Maturity and the Term Structure of Credit Spreads2012-08-27Asset pricingDebt managementWorking Paper 2012-27https://www.bankofcanada.ca/wp-content/uploads/2012/08/wp2012-27.pdfSystematic Risk, Debt Maturity and the Term Structure of Credit SpreadsHui ChenYu XuJun YangAugust 2012GG3G32G33The Impact of Liquidity on Bank Profitability
https://www.bankofcanada.ca/2010/12/working-paper-2010-38/
The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are devising new liquidity standards with the aim of making the financial system more stable and resilient. In this paper, the authors analyse the impact of liquid asset holdings on bank profitability for a sample of large U.S. and Canadian banks.2010-12-23T13:04:16+00:00enThe Impact of Liquidity on Bank Profitability2010-12-23Financial institutionsFinancial stabilityFinancial system regulation and policiesWorking Paper 2010-38https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-38.pdfThe Impact of Liquidity on Bank ProfitabilityÉtienne BordeleauChristopher GrahamDecember 2010GG2G21G3G32G33Idiosyncratic Coskewness and Equity Return Anomalies
https://www.bankofcanada.ca/2010/05/working-paper-2010-11/
In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.2010-05-20T14:53:53+00:00enIdiosyncratic Coskewness and Equity Return Anomalies2010-05-20Economic modelsFinancial marketsWorking Paper 2010-11https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp10-11.pdfIdiosyncratic Coskewness and Equity Return AnomaliesFousseni Chabi-YoJun YangMay 2010GG1G11G12G14G3G33