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Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach

Staff working paper 2016-21 Fuchun Li, Hongyu Xiao
We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks.

A Framework in Search of an Optimal Margining Policy for Official Institutions: The Canadian Experience

Staff discussion paper 2016-9 Tomo Nakashima, Mihai Cosma, Boran Plong
One of the main outcomes of the global financial crisis has been a series of new regulations imposed on the financial system and specifically on banks.
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