Céline Gauthier - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:29:38+00:00Emergency Liquidity Facilities, Signalling and Funding Costs
https://www.bankofcanada.ca/2015/12/staff-working-paper-2015-44/
In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve’s discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities.2015-12-03T13:39:05+00:00enEmergency Liquidity Facilities, Signalling and Funding Costs2015-12-03Financial institutionsFinancial stabilityLender of last resortStaff Working Paper 2015-44https://www.bankofcanada.ca/wp-content/uploads/2015/12/wp2015-44.pdfEmergency Liquidity Facilities, Signalling and Funding CostsCéline GauthierAlfred LeharHéctor Pérez SaizMoez SouissiDecember 2015GG0G01G2G21G28Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach
https://www.bankofcanada.ca/2015/08/working-paper-2015-32/
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.2015-08-07T11:53:48+00:00enQuantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach2015-08-07Financial stabilityFinancial system regulation and policiesWorking Paper 2015-32https://www.bankofcanada.ca/wp-content/uploads/2015/08/wp2015-32.pdfQuantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing ApproachKartik AnandCéline GauthierMoez SouissiAugust 2015CC7C72EE5E58GG0G01G2G21G28Understanding Systemic Risk in the Banking Sector: A MacroFinancial Risk Assessment Framework
https://www.bankofcanada.ca/wp-content/uploads/2012/05/boc-review-spring12-gauthier.pdf
The MacroFinancial Risk Assessment Framework (MFRAF) models the interconnections between liquidity and solvency in a financial system, with multiple institutions linked through an interbank network. The MFRAF integrates funding liquidity risk as an endogenous outcome of the interactions between solvency risk and the liquidity profiles of banks, which is a complementary approach to the new […]2012-05-17T10:21:49+00:00enUnderstanding Systemic Risk in the Banking Sector: A MacroFinancial Risk Assessment Framework2012-05-17What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?
https://www.bankofcanada.ca/2011/11/discussion-paper-2011-9/
One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with their systemic importance.2011-11-17T10:29:55+00:00enWhat Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?2011-11-17Financial system regulation and policiesDiscussion Paper 2011 -9https://www.bankofcanada.ca/wp-content/uploads/2011/11/dp2011-09.pdfWhat Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?Céline GauthierToni GravelleXuezhi LiuMoez SouissiNovember 2011CC1C15C8C81EE4E44GG0G01G2G21Understanding and Measuring Liquidity Risk: A Selection of Recent Research
https://www.bankofcanada.ca/wp-content/uploads/2011/05/gauthier.pdf
During the recent financial crisis, one of the forces set in motion by the initial losses on subprime-mortgage loans was a significant decline in the market liquidity of assets and in the ability of financial institutions to obtain funding in wholesale markets. In this article, the authors summarize recent research that clarifies the role of liquidity in destabilizing the financial system and examine the implications of this research for the recently announced financial system reforms, including Basel III.2011-05-19T07:20:35+00:00enUnderstanding and Measuring Liquidity Risk: A Selection of Recent Research2011-05-19Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings
https://www.bankofcanada.ca/2010/11/working-paper-2010-29/
We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way.2010-11-16T10:39:04+00:00enUnderstanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings2010-11-16Financial stabilityFinancial system regulation and policiesWorking Paper 2010-29https://www.bankofcanada.ca/wp-content/uploads/2010/11/wp10-29.pdfUnderstanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset HoldingsCéline GauthierZhongfang HeMoez SouissiNovember 2010CC1C15C8C81EE4E44GG0G01G2G21Macroprudential Regulation and Systemic Capital Requirements
https://www.bankofcanada.ca/2010/01/working-paper-2010-4/
In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks.2010-01-26T09:44:52+00:00enMacroprudential Regulation and Systemic Capital Requirements2010-01-26Financial stabilityWorking Paper 2010-4https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp10-4.pdfMacroprudential Regulation and Systemic Capital RequirementsCéline GauthierAlfred LeharMoez SouissiJanuary 2010CC1C15C8C81EE4E44GG2G21Towards a Stress-Testing Model Consistent with the Macroprudential Approach
https://www.bankofcanada.ca/wp-content/uploads/2012/01/fsr-1209-gauthier.pdf
2009-12-14T11:05:13+00:00enTowards a Stress-Testing Model Consistent with the Macroprudential Approach2009-12-14Developing a Framework to Assess Financial Stability: Conference Highlights and Lessons
https://www.bankofcanada.ca/wp-content/uploads/2010/06/gauthier.pdf
Central banks are still defining their approach to financial stability and are at an early stage in the development of useful models. The Bank of Canada's 2007 economic conference was organized to stimulate progress in the development of financial-stability frameworks. Among the highlights reported here are the discussions centred around three proposed frameworks: a contingent-claims-analysis framework, a semi-structural framework, and structural financial-stability models. Participants also reported on their experiences with stress-testing under the International Monetary Fund's Financial Sector Assessment Program and discussed the implications for financial stability of linkages among payment, clearing, and settlement systems.2008-03-16T14:09:41+00:00enDeveloping a Framework to Assess Financial Stability: Conference Highlights and Lessons2008-03-16Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model
https://www.bankofcanada.ca/2006/11/working-paper-2006-42/
The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period.2006-11-03T17:38:43+00:00enLinking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model2006-11-03Financial marketsFinancial stabilityWorking Paper 2006-42 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-42.pdfLinking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) ModelCéline GauthierFuchun LiNovember 2006CC5EE4