C - Mathematical and Quantitative Methods
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Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates. -
Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector
Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions. -
Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model
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. -
Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. -
Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound). -
Are Canadian Banks Efficient? A Canada–U.S. Comparison
The authors compare the efficiency of Canada's largest banks with U.S. commercial banks over the past 20 years. Efficiency is measured in three ways. -
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. -
Using Monthly Indicators to Predict Quarterly GDP
The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter. -
Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices
The authors examine whether simple measures of Canadian equity and housing price misalignments contain leading information about output growth and inflation.