000 01582nam  2200289za 4500
0019.842796
003CaOODSP
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008170831s2017    oncd    ob   f000 0 eng d
040 |aCaOODSP|beng
041 |aeng|bfre
043 |an-cn---
0861 |aFB3-5/2017-30E-PDF
1001 |aFique, José.
24510|aRetrieving implied financial networks from bank balance-sheet and market data |h[electronic resource] / |cby José Fique.
260 |a[Ottawa] : |bBank of Canada, |c2017.
300 |aiii, 26 p.
4901 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-30
500 |a"July 2017."
504 |aIncludes bibliographical references.
520 |a"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.
546 |aIncludes abstract in French.
69207|2gccst|aFinancial institutions
7102 |aBank of Canada.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-30|w(CaOODSP)9.806221
85640|qPDF|s1.74 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-30-eng.pdf