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636 Results

Risk, Entropy, and the Transformation of Distributions

Staff Working Paper 2002-11 Mark Reesor, Don McLeish
The exponential family, relative entropy, and distortion are methods of transforming probability distributions. We establish a link between those methods, focusing on the relation between relative entropy and distortion.

The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ

Staff Working Paper 2002-9 Toni Gravelle
Although dealership government and equity securities have, on the surface, similar market structures, the author demonstrates that some subtle differences exist between them that are likely to significantly affect the way market-makers trade, and as such have an impact on the liquidity that they provide.

The Effects of Bank Consolidation on Risk Capital Allocation and Market Liquidity

Staff Working Paper 2002-5 Chris D'Souza, Alexandra Lai
This paper investigates the effects of financial market consolidation on risk capital allocation in a financial institution and the implications for market liquidity in dealership markets. We show that an increase in financial market consolidation can have ambiguous effects on liquidity in foreign exchange and government securities markets.
Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial markets JEL Code(s): G, G2, G28, G3, G31, G34

Affine Term-Structure Models: Theory and Implementation

Staff Working Paper 2001-15 David Bolder
Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the affine class a natural introductory point for modelling interest rate dynamics.

The Future Prospects for National Financial Markets and Trading Centres

This paper investigates the effects of the continuation of globalization and technological developments on the future of national-level financial markets and trading centres, particularly in smaller countries such as Canada. We foresee the development of a single global market in the most-liquid assets based on equity-market linkages.
Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): G, G1, G10

Steps in Applying Extreme Value Theory to Finance: A Review

Staff Working Paper 2000-20 Younes Bensalah
Extreme value theory (EVT) has been applied in fields such as hydrology and insurance. It is a tool used to consider probabilities associated with extreme and thus rare events. EVT is useful in modelling the impact of crashes or situations of extreme stress on investor portfolios.
Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C0, C4, C5, G, G1

Volatility Transmission Between Foreign Exchange and Money Markets

Staff Working Paper 2000-16 Shafiq K. Ebrahim
This paper uses trivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to study price and volatility spillovers between the foreign exchange and associated money markets. Three models are estimated using data on U.S. dollar/Canadian dollar, U.S. dollar/Deutsche mark, and U.S. dollar/Japanese yen daily exchange rate returns together with returns on 90-day Eurodollar, Euro Canada, Euromark, and Euroyen deposits.
Content Type(s): Staff research, Staff working papers Topic(s): International financial markets JEL Code(s): G, G1, G15

Modelling Risk Premiums in Equity and Foreign Exchange Markets

Staff Working Paper 2000-9 René Garcia, Maral Kichian
The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.
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