Bond funds and fixed-income market liquidity : a stress-testing approach / Rohan Arora, Guillaume Bédard-Pagé, Guillaume Ouellet Leblanc and Ryan Shotlander.: FB3-1/115-2019E-PDF
"This report provides a detailed technical description of a stress test model for investment funds called Ceto. The model quantifies how asset from investment funds could amplify a sudden decline in asset prices through the liquidity risk premium of the corporate bond market"--Abstract, page ii.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.871711&sl=0
| Department/Agency | Bank of Canada. |
|---|---|
| Title | Bond funds and fixed-income market liquidity : a stress-testing approach / Rohan Arora, Guillaume Bédard-Pagé, Guillaume Ouellet Leblanc and Ryan Shotlander. |
| Series title | Technical report = Rapport technique, 1919-689X ; no. 115 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "April 2019." Includes bibliographic references. Includes abstract in French. |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada, 2019. ©2019 |
| Author / Contributor | Arora, Rohan, author. Bédard-Pagé, Guillaume, author. Ouellet Leblanc, Guillaume, author. Shotlander, Ryan, author. |
| Description | 1 online resource (iv, 42 pages) : graphs. |
| Catalogue number |
|
| Subject terms | Investments |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.- Date modified: