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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

Publication information
Department/Agency
  • Bank of Canada.
TitleBond 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 typeMonograph - View Master Record
Language[English]
FormatDigital text
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.
Description1 online resource (iv, 42 pages) : graphs.
Catalogue number
  • FB3-1/115-2019E-PDF
Subject terms
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