Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns Staff Working Paper 2006-31 Antonio Diez de los Rios, René Garcia Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions JEL Code(s): C, C1, C5, G, G1
Ownership Concentration and Competition in Banking Markets Staff Working Paper 2006-7 Alexandra Lai, Raphael Solomon Many countries prohibit large shareholdings in their domestic banks.The authors examine whether such a restriction restrains competition in a duopolistic loan market. Blockholders may influence managers' output decisions by choosing capital structure, as in Brander and Lewis (1986). Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial services, Financial system regulation and policies JEL Code(s): G, G2, G21, G28, G3, G32, L, L1, L10
Order Submission: The Choice between Limit and Market Orders Staff Working Paper 2005-42 Ingrid Lo, Stephen Sapp Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial institutions, Market structure and pricing JEL Code(s): D, D4, G, G1
Subordinated Debt and Market Discipline in Canada Staff Working Paper 2005-40 Greg Caldwell The author documents the use by Canadian banks of subordinated debt (SD) as a capital instrument. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28
Degree of Internationalization and Performance: An Analysis of Canadian Banks Staff Working Paper 2005-32 Walid Hejazi, Eric Santor The international business literature measures the link between the degree of internationalization (DOI) of a firm's activities and its performance. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): F, F2, F23, G, G2, G21
Uninsured Idiosyncratic Production Risk with Borrowing Constraints Staff Working Paper 2005-26 Francisco Covas The author analyzes a general-equilibrium model of a heterogeneous agents economy in which the agents are subject to borrowing constraints and uninsurable idiosyncratic production risk. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial institutions, Financial markets JEL Code(s): E, E2, E22, G, G1, G11, M, M1, M13
The Impact of Unanticipated Defaults in Canada's Large Value Transfer System Staff Working Paper 2005-25 Darcey McVanel Canada's Large Value Transfer System (LVTS) is designed to meet international risk-proofing standards at a minimum cost to participants in terms of collateral requirements. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, E47, G, G2, G21
Pocket Banks and Out-of-Pocket Losses: Links between Corruption and Contagion Staff Working Paper 2005-23 Raphael Solomon The author describes a model with a corrupt banking system, in which bankers knowingly lend at market interest rates to back projects riskier than the market rate indicates. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): D, D8, D82, G, G1, G19, G2, G21
Bank Failures and Bank Fundamentals: A Comparative Analysis of Latin America and East Asia during the Nineties using Bank-Level Data Staff Working Paper 2005-19 Marco Arena The author develops the first comparative empirical study of bank failures during the nineties between East Asia and Latin America using bank-level data, in order to address the following two questions: (i) To what extent did individual bank conditions explain bank failures? (ii) Did mainly the weakest banks, in terms of their fundamentals, fail in the crisis countries? Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): G, G2, N, N2
June 18, 2005 Recent Trends in Canadian Defined-Benefit Pension Sector Investment and Risk Management Bank of Canada Review - Summer 2005 Eric Tuer, Elizabeth Woodman Defined-benefit (DB) pension plans account for the majority of employer pension fund assets. In recent years, a number of DB plans have become underfunded, in sharp contrast to the 1990s, when many plans had large actuarial surpluses. The deterioration in the financial health of DB plans has underscored various longer-term structural issues that could make it increasingly difficult for plan sponsors to manage the financial risks of these plans. Tuer and Woodman examine how funding deficits, a greater focus on plan liabilities, a low yield environment, and changing investment beliefs are influencing investment decisions in the Canadian DB pension sector. They review the funding of DB plans, changing views on the equity-risk premium, and the shift towards liability-centred approaches to investment and how these developments are affecting pension sector investment. They also consider additional influences on the pension sector, including the limited supply of long-term bonds, the elimination of the foreign-property rule, and the movement towards fair-value accounting and a financial-economics approach to actuarial valuation, as well as their implications for financial markets. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial institutions, Recent economic and financial developments