- M. Math, University of Waterloo
- MBA, University of British Columbia
- Honours Business Administration (HBA), University of Western Ontario
Staff discussion papers
Staff working papers
Combining Canadian Interest-Rate ForecastsModel risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-management decisions. Use of multiple models does not necessarily solve the problem as it greatly increases the work required and still leaves the question "which model forecast should one use?"
Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's PerspectiveThe primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy.
Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy AnalysisThe stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form.
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's PerspectiveModelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates.
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest RatesZero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics.
A Stochastic Simulation Framework for the Government of Canada's Debt StrategyDebt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control.
Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of CanadaThis paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices.
Towards a More Complete Debt Strategy Simulation FrameworkAn effective technique governments use to evaluate the desirability of different financing strategies involves stochastic simulation. This approach requires the postulation of the future dynamics of key macroeconomic variables and the use of those variables in the construction of a debt charge distribution for each individual financing strategy.
Affine Term-Structure Models: Theory and ImplementationAffine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the affine class a natural introductory point for modelling interest rate dynamics.
Easing Restrictions on the Stripping and Reconstitution of Government of Canada BondsThe Department of Finance and the Bank of Canada, as its fiscal agent, work closely with financial market participants in the management of the federal government's debt program. From the government's perspective, maintaining a liquid well-functioning market in Government of Canada securities is a key factor in ensuring that debt-service costs are minimized. It is […]
Yield Curve Modelling at the Bank of CanadaThe primary objective of this paper is to produce a framework that could be used to construct a historical data base of zero-coupon and forward yield curves estimated from Government of Canada securities' prices.
Bank of Canada Review articles
June 20, 2008