Default Dependence: The Equity Default Relationship Staff Working Paper 2008-1 Stuart Turnbull, Jun Yang The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): G, G1, G12, G13
January 8, 2008 Transparency: The More, The Better? Remarks Sheryl Kennedy Association des femmes en finance du Québec Montréal, Quebec Transparency is the cornerstone of a well-functioning financial system. It's an issue that has been getting a lot of attention, and deservedly so, as we consider what has gone wrong in the market for asset-backed commercial paper. Content Type(s): Press, Speeches and appearances, Remarks
January 7, 2008 Summary of the Survey on Canadian Corporate Foreign Exchange Hedging Each year since 2004, the Bank of Canada has undertaken a questionnaire with banks that are active in the Canadian dollar foreign exchange market through offices in Toronto and/or Montréal. Content Type(s): Press, Market notices
January 4, 2008 Bank of Canada announces Deputy Governor appointment Media Relations Ottawa, Ontario The Board of Directors of the Bank of Canada today announced the appointment of John D. Murray as Deputy Governor of the Bank and a member of the Bank's Governing Council, effective 4 January 2008. Content Type(s): Press, Press releases
January 4, 2008 Update on monitoring of short-term funding markets On 12 December 2007, the Bank of Canada announced that it would enter into term purchase and resale agreements (term PRAs) extending over the calendar year with maturities on 4 January and 10 January 2008. Content Type(s): Press, Market notices
December 31, 2007 Summary of Government of Canada - Outstanding as at 31 December 2007 Content Type(s): Publications, Historical: Securities and loans
December 23, 2007 Bank of Canada welcomes restructuring announcement by Pan-Canadian Investors Committee The Bank of Canada welcomes the announcement that an agreement-in-principle has now been reached among parties to the Montreal Accord for the restructuring of non-bank asset-backed commercial paper. Content Type(s): Press, Market notices
December 21, 2007 An Approach to Stress Testing the Canadian Mortgage Portfolio Financial System Review - December 2007 Moez Souissi Content Type(s): Publications, Financial System Review articles
December 21, 2007 Developments in Processing Over-the-Counter Derivatives Financial System Review - December 2007 Natasha Khan Content Type(s): Publications, Financial System Review articles
December 21, 2007 Financial System Review - December 2007 The financial system makes an important contribution to the welfare of all Canadians. The ability of households and firms to confidently hold and transfer financial assets is one of the fundamental building blocks of the Canadian economy. Content Type(s): Publications, Financial Stability Report