Retrieving implied financial networks from bank balance-sheet and market data: FB3-5/2017-30E-PDF

"In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures. I propose an approach that incorporates this network of exposures, among other factors, in a valuation model of credit default swaps. The model-implied spreads are then used to retrieve the set of networks that are consistent with market spreads. The approach is illustrated with an application to the UK banking system."--Abstract, p. ii.

Permanent link to this Catalogue Record: What is a permanent link?
http://publications.gc.ca/pub?id=9.842796&sl=0
MARC XML Format   MARC HTML Format

Department/Agency Bank of Canada.
Title Retrieving implied financial networks from bank balance-sheet and market data
Series Title Bank of Canada staff working paper,
Publication Type Series - View Master Record
Language [English]
Format Electronic
Electronic Document

Archived Content

Information identified as archived is provided for reference, research or recordkeeping purposes. It is not subject to the Government of Canada Web Standards and has not been altered or updated since it was archived. Please contact the authoring department to request a format other than those available.

We invite you to consult the Frequently Asked Questions page for additional information regarding the Archived Content notice.


Having trouble opening this document?

Note: The URLs contained in this/these document(s) may no longer be functional
Note "July 2017."
Date 2017.
Number of Pages iii, 26 p.
Catalogue Number
  • FB3-5/2017-30E-PDF
Subject Terms Financial institutions