Credit risk management
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May 20, 2020
Decisive actions in difficult times
Deputy Governor Timothy Lane talks about the Bank’s decisive actions in response to COVID-19, and how these will help Canadians now and in the future. -
May 20, 2020
Policies for the Great Global Shutdown and Beyond
Deputy Governor Timothy Lane explains how the Bank is helping Canadian households and businesses weather the COVID-19 crisis, and how our actions today are laying a solid foundation for our future economic recovery. -
January 30, 2020
How vulnerabilities like debt can affect interest rates
Deputy Governor Paul Beaudry explains to students at Laval University why financial vulnerabilities—such as household debt—are important for the Bank of Canada when it sets interest rates. -
January 30, 2020
Monetary Policy and Financial Vulnerabilities
Deputy Governor Paul Beaudry discusses how financial vulnerabilities present a challenge for monetary policy. -
Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects
Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals. -
March 14, 2019
The Age of Leverage
Senior Deputy Governor Carolyn A. Wilkins discusses how high leverage is both a headwind to global growth and a vulnerability in the global financial system. -
Macroprudential Policy with Capital Buffers
The countercyclical capital buffer is part of Basel III, the set of regulatory measures developed in response to the financial crisis of 2007–09. This study focuses on how time-varying capital buffers can address inefficiencies in economies with endogenous financial crises. -
October 16, 2018
Keeping the financial system healthy
We are all better off if the financial system can weather a storm or two. And every one of us plays a role in keeping it that way. -
Credit Risk Transfer and Bank Insolvency Risk
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.