Maarten van Oordt

Author

Staff analytical notes

Modelling the Macrofinancial Effects of a House Price Correction in Canada

We use a suite of risk-assessment models to examine the possible impact of a hypothetical house price correction, centred in the Toronto and Vancouver areas. We also assume financial stress significantly amplifies the macroeconomic impact of the house price decline.

Complementing the Credit Risk Assessment of Financial Counterparties with Market-Based Indicators

Staff Analytical Note 2017-15 Guillaume Ouellet Leblanc, Maarten van Oordt
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

Staff Analytical Note 2016-5 Cameron MacDonald, Maarten van Oordt, Robin Scott
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.

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Staff working papers

Best Before? Expiring Central Bank Digital Currency and Loss Recovery

Staff Working Paper 2021-67 Charles M. Kahn, Maarten van Oordt, Yu Zhu
We consider introducing an expiry date for offline digital currency balances. Consumers whose digital cash expired would automatically receive the funds back into their online account. This functionality could increase demand for digital cash, with the time to expiry playing a key role.
Content Type(s): Staff research, Staff working papers Topic(s): Digital currencies and fintech JEL Code(s): E, E4, E41, E42

Why Fixed Costs Matter for Proof-of-Work Based Cryptocurrencies

Staff Working Paper 2020-27 Rodney J. Garratt, Maarten van Oordt
Can Bitcoin survive? Some say it will become vulnerable to attacks as the rewards for processing Bitcoin transactions continue to decline. The economics of fixed costs suggest the specialized hardware used to mine Bitcoin may be key to its survival.

Privacy as a Public Good: A Case for Electronic Cash

Staff Working Paper 2019-24 Rodney J. Garratt, Maarten van Oordt
Cash gives users a high level of privacy when making payments, but the use of cash to make payments is declining. People increasingly use debit cards, credit cards or other methods to pay.

Entrepreneurial Incentives and the Role of Initial Coin Offerings

Staff Working Paper 2019-18 Rodney J. Garratt, Maarten van Oordt
Initial coin offerings (ICOs) are a new mode of financing start-ups that saw an explosion in popularity in 2017 but declined in popularity in the second half of 2018 as regulatory pressure, instances of fraud and reports of poor performance began to undermine their reputation.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Exchange rates JEL Code(s): G, G3, G32

Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests

Staff Working Paper 2018-54 Maarten van Oordt
How much capital do banks need as a buffer to absorb severe shocks? By using historical stock market data, market-based stress tests help estimate the magnitude of capital buffers necessary to absorb severe but plausible shocks.

Credit Risk Transfer and Bank Insolvency Risk

Staff Working Paper 2017-59 Maarten van Oordt
The present paper shows that, everything else equal, some transactions to transfer portfolio credit risk to third-party investors increase the insolvency risk of banks. This is particularly likely if a bank sells the senior tranche and retains a sufficiently large first-loss position.

On the Value of Virtual Currencies

Staff Working Paper 2016-42 Wilko Bolt, Maarten van Oordt
This paper develops an economic framework to analyze the exchange rate of virtual currency. Three components are important: first, the current use of virtual currency to make payments; second, the decision of forward-looking investors to buy virtual currency (thereby effectively regulating its supply); and third, the elements that jointly drive future consumer adoption and merchant acceptance of virtual currency.

Timing of Banks’ Loan Loss Provisioning During the Crisis

Staff Working Paper 2016-27 Leo de Haan, Maarten van Oordt
We estimate a panel error correction model for loan loss provisions, using unique supervisory data on flow of funds into and out of the allowance for loan losses of 25 Dutch banks in the post-2008 crisis period. We find that these banks aim for an allowance of 49% of impaired loans.

Estimating Systematic Risk Under Extremely Adverse Market Conditions

Staff Working Paper 2016-22 Maarten van Oordt, Chen Zhou
This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties.

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Bank publications

Financial System Hub articles

November 14, 2018

Financial System Resilience and House Price Corrections

We use models to better understand and assess how risks could affect the financial system. In our hypothetical scenario, a house price correction and elevated financial stress weigh on the economy. An increased number of households and businesses have difficulty repaying loans. Nonetheless, the large banks remain resilient.

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Financial System Review articles

June 8, 2017

Using Market-Based Indicators to Assess Banking System Resilience

This report reviews the use of quantitative tools to gauge market participants’ assessment of banking system resilience. These measures complement traditional balance-sheet metrics and suggest that markets consider large Canadian banks to be better placed to weather adverse shocks than banks in other advanced economies. Compared with regulatory capital ratios, however, the measures suggest less improvement in banking system resilience since the pre-crisis period.

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