Maarten van Oordt is a Research Advisor in the Currency Department of the Bank of Canada. His work focuses on digital currency, financial institutions and risk management. Before joining Currency, Maarten worked as a Senior Analyst in the Financial Stability Department of the Bank of Canada, and as an economist in the Economics and Research Division of De Nederlandsche Bank (Dutch Central Bank). He received his PhD from Erasmus University Rotterdam on the topic “On Extreme Events in Banking and Finance.” His research has been published in academic journals such as the Journal of Financial Intermediation and the Journal of Financial and Quantitative Analysis.
Staff Analytical Notes
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.
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.
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.
Staff Working Papers
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.
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.
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.
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.
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.
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.
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.
Financial System Hub
November 14, 2018
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.
Financial System Review Article
June 8, 2017
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.
Publications in refereed journals
- "On the value of virtual currencies"
(with W. Bolt), Journal of Money, Credit and Banking. (forthcoming).
- "Systemic risk and bank business models"
(with C. Zhou), Journal of Applied Econometrics. (forthcoming).
- "Estimating systematic risk under extremely adverse market conditions"
(with C. Zhou), Journal of Financial Econometrics. (forthcoming).
- "Timing of banks’ loan loss provisioning during the crisis"
(with L. de Haan), Journal of Banking and Finance, 2018, 87, 293-303.
- "Systematic tail risk"
(with C. Zhou), Journal of Financial and Quantitative Analysis, 2016, 51(2), 685-705.
- "Securitization and the dark side of diversification"
Journal of Financial Intermediation, 2014, 23(2), 214-231.
- "Bank profitability during recessions"
(with W. Bolt, L. de Haan, M. Hoeberichts, and J. Swank), Journal of Banking and Finance, 2012, 36(9), 2552–2564.
- "The simple econometrics of tail dependence"
(with C. Zhou), Economics Letters, 2012, 116(3), 371-373.
Chapters in books
Work in progress