Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/53942 
Year of Publication: 
2007
Series/Report no.: 
Bank of Canada Working Paper No. 2007-25
Publisher: 
Bank of Canada, Ottawa
Abstract: 
We 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.
Subjects: 
Econometric and statistical methods
Financial markets
Financial stability
JEL: 
G00
G10
C10
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
483.44 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.