C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

• Household Risk Assessment Model

  Technical Report No. 106 Brian Peterson, Tom Roberts

  Household debt can be an important source of vulnerability to the financial system. This technical report describes the Household Risk Assessment Model (HRAM) that has been developed at the Bank of Canada to stress test household balance sheets at the individual level.

  Content Type(s): Staff research, Technical reports Topic(s): Financial stability, Housing, Sectoral balance sheet JEL Code(s): C, C0, C6, C63, C65, D, D0, D1, D14

• The Impact of Macroprudential Housing Finance Tools in Canada: 2005–10

  Staff Working Paper 2016-41 Jason Allen, Timothy Grieder, Brian Peterson, Tom Roberts

  This paper combines loan-level administrative data with household-level survey data to analyze the impact of recent macroprudential policy changes in Canada using a microsimulation model of mortgage demand of first-time homebuyers.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial system regulation and policies JEL Code(s): C, C6, C63, D, D1, D14, G, G2, G28

• Are Counterparty Arrangements in Reinsurance a Threat to Financial Stability?

  Staff Working Paper 2016-39 Matt Davison, Darrell Leadbetter, Bin Lu, Jane Voll

  Interconnectedness among insurers and reinsurers at a global level is not well understood and may pose a significant risk to the sector, with implications for the macroeconomy. Models of the complex interactions among reinsurers and with other participants in the financial system and the real economy are at a very early stage of development.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial services, Financial stability, Financial system regulation and policies JEL Code(s): C, C6, C63, G, G1, G10, G15, G18, G2, G22, G28

• Housing and Tax-Deferred Retirement Accounts

  Staff Working Paper 2016-24 Anson T. Y. Ho, Jie Zhou

  Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households’ use of TDA and their housing decisions.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Housing JEL Code(s): C, C6, C61, D, D1, D14, D9, D91, E, E2, E21, H, H2, H24, R, R2, R21