G - Financial Economics
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Estimation of the Default Risk of Publicly Traded Canadian Companies
Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model. -
Can Affine Term Structure Models Help Us Predict Exchange Rates?
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression. -
Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach
The author explores a fundamental trade-off that occurs between settlement delay and intraday liquidity in the daily operation of large-value payment systems (LVPS), with specific application to Canada's Large Value Transfer System (LVTS). -
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral. -
Benchmark Index of Risk Appetite
Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets. -
Ownership Concentration and Competition in Banking Markets
Many countries prohibit large shareholdings in their domestic banks.The authors examine whether such a restriction restrains competition in a duopolistic loan market. Blockholders may influence managers' output decisions by choosing capital structure, as in Brander and Lewis (1986). -
Order Submission: The Choice between Limit and Market Orders
Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type. -
Subordinated Debt and Market Discipline in Canada
The author documents the use by Canadian banks of subordinated debt (SD) as a capital instrument. -
An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia
Over the past few years, the ability of the United States to finance its current account deficit has been facilitated by massive purchases of U.S.