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dc.contributor.authorGarcía, Alejandroen_US
dc.contributor.authorGençay, Ramazanen_US
dc.date.accessioned2011-12-15T12:58:31Z-
dc.date.available2011-12-15T12:58:31Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/53942-
dc.description.abstractWe propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs. This framework permits us to quantify the potential impact on the portfolio returns of systemic events that change, or break down, the historical comovement structure, imposing an adverse extreme dependence.We illustrate our framework using securities pledged as collateral in the Canadian securities clearing and settlement system.en_US
dc.language.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2007,25en_US
dc.subject.jelG00en_US
dc.subject.jelG10en_US
dc.subject.jelC10en_US
dc.subject.ddc330en_US
dc.subject.keywordEconometric and statistical methodsen_US
dc.subject.keywordFinancial marketsen_US
dc.subject.keywordFinancial stabilityen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwWertpapieranlageen_US
dc.subject.stwKreditsicherungen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwSchätzungen_US
dc.subject.stwKanadaen_US
dc.titleManaging adverse dependence for portfolios of collateral in financial infrastructuresen_US
dc.typeWorking Paperen_US
dc.identifier.ppn529369036en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Bank of Canada Working Papers

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