Credit risk management - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T23:03:46+00:00Flood risk and residential lending
https://www.bankofcanada.ca/2024/01/flood-risk-and-residential-lending/
We present key findings of a recent study that evaluates the credit risk that flooding poses to the residential lending activities of Canadian banks and credit unions. Results show that such risk currently appears modest but could become larger with climate change.2024-01-15T15:00:26+00:00enFlood risk and residential lending2024-01-15Procyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key Parameters
https://www.bankofcanada.ca/2023/12/staff-discussion-paper-2023-34/
Regulators need to provide effective procyclicality guidance, and central counterparties must design and calibrate their margin systems and procyclicality frameworks appropriately. To serve these needs, we provide a novel conceptual tool kit. Further, we highlight that the focus should be on the key margin system parameters in determining procyclicality.2023-12-29T11:12:20+00:00enProcyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key Parameters2023-12-29Coronavirus disease (COVID-19)Credit risk managementFinancial institutionsFinancial marketsFinancial stabilityFinancial system regulation and policiesStaff Discussion Paper 2023-34https://www.bankofcanada.ca/wp-content/uploads/2023/12/sdp2023-34.pdfProcyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key ParametersAlper OdabasiogluDecember 2023GG0G01G2G23G28Climate-Related Flood Risk to Residential Lending Portfolios in Canada
https://www.bankofcanada.ca/2023/12/staff-discussion-paper-2023-33/
We assess the potential financial risks of current and projected flooding caused by extreme weather events in Canada. We focus on the residential real estate secured lending (RESL) portfolios of Canadian financial institutions (FIs) because RESL portfolios are an important component of FIs’ balance sheets and because the assets used to secure such loans are immobile and susceptible to climate-related extreme weather events.2023-12-20T15:56:24+00:00enClimate-Related Flood Risk to Residential Lending Portfolios in Canada2023-12-20Central bank researchClimate changeCredit risk managementEconometric and statistical methodsFinancial institutionsFinancial stabilityStaff Discussion Paper 2023-33https://www.bankofcanada.ca/wp-content/uploads/2023/12/sdp2023-33.pdfClimate-Related Flood Risk to Residential Lending Portfolios in CanadaCraig JohnstonGeneviève ValléeHossein HosseiniBrett LindsayMiguel MolicoMarie-Christine TremblayAidan WittsDecember 2023CC8C81GG2G21QQ5Q54Getting used to higher interest rates
https://www.bankofcanada.ca/2023/11/getting-used-to-higher-interest-rates/
Senior Deputy Governor Carolyn Rogers talks about why interest rates could settle at a higher level than Canadians are used to and why preparing early for that possible outcome is important.2023-11-09T14:56:23+00:00Getting used to higher interest rates2023-11-09Carolyn RogersFinancial stability in a world of higher interest rates
https://www.bankofcanada.ca/2023/11/financial-stability-in-a-world-of-higher-interest-rates/
Senior Deputy Governor Carolyn Rogers talks about financial stability in an era of higher interest rates.2023-11-09T11:45:54+00:00Financial stability in a world of higher interest rates2023-11-09Carolyn RogersShould Banks Be Worried About Dividend Restrictions?
https://www.bankofcanada.ca/2023/09/staff-working-paper-2023-49/
A regulator would want to restrict dividends to force banks to rebuild capital during a crisis. But such a policy is not time-consistent. A time-consistent policy would let banks gradually rebuild capital and pay dividends even when their equity remains below pre-crisis levels.2023-09-27T13:03:27+00:00enShould Banks Be Worried About Dividend Restrictions?2023-09-27Business fluctuations and cyclesCredit and credit aggregatesCredit risk managementFinancial stabilityFinancial system regulation and policiesLender of last resortStaff Working Paper 2023-49https://www.bankofcanada.ca/wp-content/uploads/2023/09/swp2023-49.pdfStaff Working Paper 2023-49Josef SchrothSeptember 2023EE1E13E3E32E4E44Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps
https://www.bankofcanada.ca/2023/07/staff-working-paper-2023-38/
We study whether the credit derivatives of firms reflect the risk from climate transition. We find that climate transition risk has asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms.2023-07-17T13:28:18+00:00enIs Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps2023-07-17Climate changeCredit risk managementEconometric and statistical methodsStaff Working Paper 2023-38https://www.bankofcanada.ca/wp-content/uploads/2023/07/swp2023-38.pdfIs Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default SwapsAndrea UgoliniJuan C. ReboredoJavier Ojea FerreiroJuly 2023CC2C24GG1G12G3G32QQ5Q54Mandatory Retention Rules and Bank Risk
https://www.bankofcanada.ca/2023/01/staff-working-paper-2023-3/
This paper studies, theoretically and empirically, the unintended consequences of mandatory retention rules in securitization. It proposes a novel model showing that while retention strengthens monitoring, it may also encourage banks to shift risk.2023-01-05T12:32:05+00:00enMandatory Retention Rules and Bank Risk2023-01-05Credit risk managementFinancial institutionsFinancial system regulation and policiesStaff Working Paper 2023-3https://www.bankofcanada.ca/wp-content/uploads/2023/01/swp2023-3.pdfMandatory Retention Rules and Bank RiskYuteng ChengJanuary 2023GG2G21G28Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models
https://www.bankofcanada.ca/2022/07/staff-working-paper-2022-31/
We use graphic processing unit computing to compare Bayesian and sample theory semiparametric binary response models. Our findings show that optimal bandwidth does not outperform regular bandwidth in binary semiparametric models.2022-07-04T11:20:56+00:00enComparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models2022-07-04Credit risk managementEconometric and statistical methodsStaff Working Paper 2022-31https://www.bankofcanada.ca/wp-content/uploads/2022/07/swp2022-31.pdfComparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response ModelsXiangjin ShenIskander KaribzhanovHiroki TsurumiShiliang LiJuly 2022CC1C14C3C35C5C51C6C63DD1Potential netting benefits from expanded central clearing in Canada’s fixed-income market
https://www.bankofcanada.ca/2022/06/staff-analytical-note-2022-8/
We assess whether more central clearing would enhance the resilience of Canadian fixed-income markets. Our analysis estimates the potential benefits of balance sheet netting under scenarios where central clearing is expanded to new participants.2022-06-22T10:00:37+00:00enPotential netting benefits from expanded central clearing in Canada’s fixed-income market2022-06-22