00000nam 2200000zi 4500 9.935110 CaOODSP 20240308090059 m o d f cr mn||||||||| 240308t20242024onca ob f000 0 eng d CaOODSP eng rda CaOODSP eng eng fre FB3-5/2024-6E-PDF Raykov, Radoslav S., author. Decomposing large banks' systemic trading losses / by Radoslav Raykov. [Ottawa] : Bank of Canada = Banque du Canada, 2024. ©2024 1 online resource (ii, 40 pages) : illustrations (some colour). text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-6 ISSN assigned to different series. "Last updated: March 7, 2024." Includes bibliographical references (pages 26-30). "Do banks realize simultaneous trading losses because they invest in the same assets, or because different assets are subject to the same macro shocks? This paper decomposes the comovements of bank trading losses into two orthogonal channels: portfolio overlap and common shocks. While portfolio overlap generates strong comovements, I find that the sensitivity to common shocks from non-overlapping assets is larger. This sensitivity operates through two sub-channels: the short-long interest rate correlation and the stock-bond correlation, driven by macroeconomic factors. This reveals a new trade-off whereby reductions in portfolio overlap can increase the comovement of trading losses by adding exposures to macro shocks"--Abstract, page ii. Includes abstracts in English and French. Bank investments Econometric models. Financial crises Econometric models. Banques Investissements Modèles économétriques. Crises financières Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2024-6. (CaOODSP)9.806221 PDF 716 KB https://publications.gc.ca/collections/collection_2024/banque-bank-canada/FB3-5-2024-6-eng.pdf