G10 - General

• Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets

  Staff Working Paper 2006-43 Alexander Melnikov, Yuliya Romanyuk

  The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): D, D8, D81, G, G1, G10, G12

• An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds

  Staff Working Paper 2003-28 Chris D'Souza, Charles Gaa, Jing Yang

  The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dynamics in the Government of Canada secondary bond market. They find, consistent with Inoue (1999), that the Canadian brokered interdealer fixed-income market is relatively liquid for its size.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G14

• The Syndicated Loan Market: Developments in the North American Context

  Staff Working Paper 2003-15 Jim Armstrong

  The author describes the rapid development of the syndicated corporate loan market in the 1990s. He explores the historical forces that led to the development of the contemporary U.S. syndicated loan market, which is effectively a hybrid of the investment banking and commercial banking worlds.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial markets JEL Code(s): G, G1, G10, G2, G21

• An Index of Financial Stress for Canada

  Staff Working Paper 2003-14 Mark Illing, Ying Liu

  The authors develop an index of financial stress for the Canadian financial system. Stress is defined as the force exerted on economic agents by uncertainty and changing expectations of loss in financial markets and institutions.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial markets JEL Code(s): E, E5, G, G1, G10

• Alternative Trading Systems: Does One Shoe Fit All?

  Staff Working Paper 2002-33 Nicolas Audet, Toni Gravelle, Jing Yang

  This paper examines the factors that lead liquidity-motivated investors to choose the type of market structure they prefer.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): G, G1, G10, G14, G18

• 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.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G15, G18

• The Future Prospects for National Financial Markets and Trading Centres

  Staff Working Paper 2001-10 Charles Gaa, Stephen Lumpkin, Robert Ogrodnick, Peter Thurlow

  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

• Estimating One-Factor Models of Short-Term Interest Rates

  Staff Working Paper 1999-18 Des Mc Manus, David Watt

  There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): C, C5, C52, G, G1, G10

• The Microstructure of Financial Derivatives Markets: Exchange-Traded versus Over-the-Counter

  Technical Report No. 68 Brenda González-Hermosillo

  In this report the author focusses on the microstructure of derivatives markets. While the primary objective is to examine derivatives markets in Canada, the author also discusses certain developments in global derivatives markets that are bound to influence the functioning and development of financial markets in a small, open economy such as Canada's. It is […]

  Content Type(s): Staff research, Technical reports Topic(s): Financial markets JEL Code(s): G, G1, G10

• The Development of Financial Derivatives Markets: The Canadian Experience

  Technical Report No. 62 Sean O'Connor

  In response to an intense demand for risk management services since the early 1980s, the over-the-counter (OTC) markets for financial derivatives in Canada have developed more vigorously than those for exchange-traded (EXT) derivative securities. This is particularly evident for interest rate derivatives. The objectives of this paper are to examine why Canadian interest rate derivatives […]

  Content Type(s): Staff research, Technical reports Topic(s): Financial markets JEL Code(s): G, G1, G10