June 17, 2009
Posts
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June 16, 2009
Results of the 16 June 2009 Term PRA Transaction for Private Sector Instruments
Results of today's term PRA operations. -
June 15, 2009
Results of the 15 June 2009 Term PRA Transaction
Results of today's term PRA operations. -
The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness. -
June 12, 2009
Bank of Canada Announces Details of its Term Loan Facility Operation
In accordance with the schedule of Term Loan Facility (TLF) auctions announced on 24 April (see schedule), the Bank of Canada announced today that it will conduct a TLF operation. -
June 12, 2009
Bank of Canada Announces Details of its Term PRA Operation
In accordance with the schedule of term purchase and resale agreement (PRA) auctions announced on 21 April (see schedule), the Bank of Canada announced today that it will conduct a term PRA operation. -
June 12, 2009
Bank of Canada Announces Details of its Term PRA for Private Sector Instruments Operation
In accordance with the schedule of term purchase and resale agreement (PRA) auctions for private sector instruments announced on 24 April (see schedule), the Bank of Canada announced today that it will conduct a term PRA operation for private sector instruments. -
June 11, 2009
Rebalancing the Global Economy
The theme of this conference – "Adapting to a New World Order" – suggests that it is clear how global commerce and finance will be reorganized in the wake of the current crisis. However, the outcome is far from preordained. How we manage the rebalancing of the global economy could profoundly influence how open, equitable, and prosperous the New World Order will be. -
June 11, 2009
Collateral Management in the LVTS by Canadian Financial Institutions
This article examines the incentives for banks to hold various assets on their balance sheets for use as collateral when the opportunity cost of doing so can be high. Focusing on the five-year period (2002-07) that preceded the financial crisis, it examines the choices made by financial institutions among the assets that are pledged as collateral in Canada's Large Value Transfer System. This serves as a baseline for collateral-management practices during relatively normal times. The results of this study are important for policy-makers, especially the Bank of Canada, which is concerned both about the efficient functioning of fixed-income markets and about the credit risk it ultimately bears in insuring LVTS settlement. The results suggest that relative market liquidity and market-making capacity are important factors in the choice of securities pledged as collateral in the LVTS.