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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.871711&sl=1
Ministère/Organisme | Bank of Canada. |
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Titre | Bond funds and fixed-income market liquidity : a stress-testing approach / Rohan Arora, Guillaume Bédard-Pagé, Guillaume Ouellet Leblanc and Ryan Shotlander. |
Titre de la série | Technical report = Rapport technique, 1919-689X ; no. 115 |
Type de publication | Série - Voir l'enregistrement principal |
Langue | [Anglais] |
Format | Électronique |
Document électronique | |
Note(s) | "April 2019." Includes bibliographic references. Includes abstract in French. |
Information sur la publication | Ottawa, Ontario, Canada : Bank of Canada, 2019. ©2019 |
Auteur / Contributeur | Arora, Rohan, author. Bédard-Pagé, Guillaume, author. Ouellet Leblanc, Guillaume, author. Shotlander, Ryan, author. |
Description | 1 online resource (iv, 42 pages) : graphs. |
Numéro de catalogue |
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Descripteurs | Investments |