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| 02325nam 2200385zi 4500 |
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| 001 | 9.935110 |
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| 003 | CaOODSP |
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| 005 | 20240308090059 |
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| 006 | m o d f |
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| 007 | cr mn||||||||| |
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| 008 | 240308t20242024onca ob f000 0 eng d |
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| 040 | |aCaOODSP|beng|erda|cCaOODSP |
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| 041 | 0 |aeng|beng|bfre |
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| 086 | 1 |aFB3-5/2024-6E-PDF |
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| 100 | 1 |aRaykov, Radoslav S., |eauthor. |
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| 245 | 10|aDecomposing large banks' systemic trading losses / |cby Radoslav Raykov. |
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| 264 | 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |c2024. |
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| 264 | 4|c©2024 |
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| 300 | |a1 online resource (ii, 40 pages) : |billustrations (some colour). |
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| 336 | |atext|btxt|2rdacontent |
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| 337 | |acomputer|bc|2rdamedia |
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| 338 | |aonline resource|bcr|2rdacarrier |
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| 490 | 1 |aStaff working paper = Document de travail du personnel, |y1701-9397 ; |v2024-6 |
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| 500 | |aISSN assigned to different series. |
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| 500 | |a"Last updated: March 7, 2024." |
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| 504 | |aIncludes bibliographical references (pages 26-30). |
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| 520 | 3 |a"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. |
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| 546 | |aIncludes abstracts in English and French. |
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| 650 | 0|aBank investments|xEconometric models. |
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| 650 | 0|aFinancial crises|xEconometric models. |
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| 650 | 6|aBanques|xInvestissements|xModèles économétriques. |
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| 650 | 6|aCrises financières|xModèles économétriques. |
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| 710 | 2 |aBank of Canada, |eissuing body. |
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| 830 | #0|aStaff working paper (Bank of Canada)|v2024-6.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s716 KB|uhttps://publications.gc.ca/collections/collection_2024/banque-bank-canada/FB3-5-2024-6-eng.pdf |
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