G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
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Market Valuation and Risk Assessment of Canadian Banks
The authors apply the asset-valuation model developed by Rabinovitch (1989) to six publicly traded Canadian banks over the period 1982–2002. -
The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital
The authors conduct a counterfactual simulation of the proposed rules under the new Basel Capital Accord (Basel II), including the revised treatment of expected and unexpected credit losses proposed by the Basel Committee in October 2003. -
Regulatory Changes and Financial Structure: The Case of Canada
The author documents some stylized facts about the Canadian financial structure. He explores these empirical facts in the context of Canadian financial legislation and finds that, over the 1990s, Canadian businesses became more heavily dependent on financial markets as their primary source of external funding. -
Competition in Banking: A Review of the Literature
The author reviews the theoretical and empirical literature to examine the traditional perception that the following trade-off exists between economic efficiency and stability in the banking system: a competitive banking system is more efficient and therefore important to growth, but market power is necessary for stability in the banking system. -
When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises
The author develops a twin crisis model featuring multiple banks. -
Bank Capital, Agency Costs, and Monetary Policy
Evidence suggests that banks, like firms, face financial frictions when raising funds. -
Anatomy of a Twin Crisis
The author presents a model of a twin crisis, in which foreign and domestic residents play a banking game. Both "honest" and run equilibria of the post-deposit subgame exist; some run equilibria lead to a currency crisis, as agents convert domestic currency to foreign currency. -
Excess Collateral in the LVTS: How Much is Too Much?
The authors build a theoretical model that generates demand for collateral by Large Value Transfer System (LVTS) participants under the assumption that they minimize the cost of holding and managing collateral for LVTS purposes. The model predicts that the optimal amount of collateral held by each LVTS participant depends on the opportunity cost of collateral, the transactions costs of acquiring assets used as collateral and transferring them in and out of the LVTS, and the distribution of an LVTS participant's payment flows in the LVTS. -
The Syndicated Loan Market: Developments in the North American Context
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.