000	00000nam 2200000zi 4500
001	9.950408
003	CaOODSP
005	20250430132322
006	m     o  d f
007	cr mn|||||||||
008	250411t20242024oncad   ob   f|0| 0 eng d
040	|aCaOODSP|beng|erda|cCaOODSP
041	|aeng|beng|bfre
043	|an-cn---
086	1 |aFB3-5/2024-46E-PDF
100	1 |aRaykov, Radoslav S., |eauthor.
245	10|aIs this normal? : |bthe cost of assuming that derivatives have normal returns / |cby Radoslav Raykov.
264	1|a[Ottawa] : |bBank of Canada = Banque du Canada, |c2024.
264	4|c©2024
300	|a1 online resource (ii, 43 pages) : |billustrations, graphs.
336	|atext|btxt|2rdacontent
337	|acomputer|bc|2rdamedia
338	|aonline resource|bcr|2rdacarrier
490	1 |aStaff working paper = Document de travail du personnel, |y1701-9397 ; |v2024-46
500	|aISSN assigned to different series.
500	|a"Last updated: November 26, 2024."
504	|aIncludes bibliographical references (pages 40-43).
520	3 |a"Derivatives exchanges often determine collateral requirements, which are fundamental to market safety, with dated risk models assuming normal returns. However, derivatives returns are heavy-tailed, which leads to the systematic under-collection of collateral (margin). This paper uses extreme value theory (EVT) to evaluate the cost of this margin inadequacy to market participants in the event of default"--Abstract, page ii.
546	|aIncludes abstract in French.
650	0|aFinancial institutions|zCanada.
650	0|aFinancial institutions|zCanada|xEconometric models.
650	6|aInstitutions financières|zCanada.
650	6|aInstitutions financières|zCanada|xModèles économétriques.
710	2 |aBank of Canada, |eissuing body.
830	#0|aStaff working paper (Bank of Canada)|v2024-46.|w(CaOODSP)9.806221
856	40|qPDF|s1.85 MB|uhttps://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2024-46-eng.pdf