Shubhasis Dey

Latest

June 17, 2008

A Tool for Assessing Financial Vulnerabilities in the Household Sector

In this article, the authors build on the framework used in the Bank of Canada's Financial System Review to assess the evolution of household indebtedness and financial vulnerabilities in response to changing economic conditions. To achieve this, they first compare two microdata sets generated by Ipsos Reid's Canadian Financial Monitor and Statistics Canada's Survey of Financial Security. They find that the surveys are broadly comparable, despite methodological differences. This enables them to use the combined information content for the identification of the threshold value of the debt-service ratio (DSR). The article then presents an innovative framework that uses household-level microdata to simulate changes in the distribution of the DSR under various stress scenarios. The authors show how this framework can be used by analyzing the effects of two different scenarios on the distribution of the debt-service ratio and the impact on vulnerable households. This tool will enable researchers to refine their analyses of current risks to the financial health of Canadian households. The article concludes with comments on future directions for refining the Bank's analyses of household sector risk.

Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector

Staff Working Paper 2006-47 Miroslav Misina, David Tessier, Shubhasis Dey
Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions, Financial stability JEL Code(s): C, C1, C15, G, G2, G21, G3, G33

Lines of Credit and Consumption Smoothing: The Choice between Credit Cards and Home Equity Lines of Credit

Staff Working Paper 2005-18 Shubhasis Dey
The author models the choice between credit cards and home equity lines of credit (HELOCs) within a framework where consumers hold lines of credit as instruments of consumption smoothing across state and time.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Credit and credit aggregates JEL Code(s): D, D1, D8, D81

Determinants of Borrowing Limits on Credit Cards

Staff Working Paper 2005-7 Shubhasis Dey, Gene Mumy
The difference between actual borrowings and borrowing limits alone generates information asymmetry in the credit card market.

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