Complementing the credit risk assessment of financial counterparties with market-based indicators / by Guillaume Ouellet Leblanc and Maarten R.C. van Oordt.: FB3-7/2017-15E-PDF

"The Bank’s internal credit risk assessment abilities are regularly enhanced. In this note, we present a recent innovation that extends the set of market-based indicators used in the credit risk assessment of financial counterparties. These indicators supplement existing fundamental quantitative and qualitative credit risk analysis by providing a timely reading of markets’ perceptions of the credit quality of financial counterparties"--Abstract, p. [iii].

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Publication information
Department/Agency Bank of Canada.
Title Complementing the credit risk assessment of financial counterparties with market-based indicators / by Guillaume Ouellet Leblanc and Maarten R.C. van Oordt.
Series title Staff analytical note = Note analytique du personnel, 2369-9639 ; 2017-15
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Note(s) Cover title.
Includes bibliographical references.
Includes abstract in French.
Publishing information [Ottawa] : Bank of Canada, c2017.
Author / Contributor Leblanc, Guillaume Ouellet.
Van Oordt, Maarten R. C.
Description ii, 10 p. : col. charts
Catalogue number
  • FB3-7/2017-15E-PDF
Subject terms Financial institutions
Credit
Risk management
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