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dc.contributor.authorAllen, Jasonen_US
dc.contributor.authorHorta├žsu, Alien_US
dc.contributor.authorKastl, Jakuben_US
dc.date.accessioned2011-08-25en_US
dc.date.accessioned2011-12-15T12:58:52Z-
dc.date.available2011-12-15T12:58:52Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/53966-
dc.description.abstractThis paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. We use data from the Canadian financial system to show that these publicly available risk measures, while indicative of initial problems of the financial system as a whole, do not seem to correspond to risks implied by the cross-sectional heterogeneity in bank behavior in short-term lending markets. Strategies in, and reliance on the payments system as well as special liquidity-supplying tools provided by the central bank seem to be more important additional indicators of distress of individual banks, or lack thereof than the CDSs. It therefore seems that central banks should utilize high-frequency data on liquidity demand to obtain a better picture of financial health of individual participants of the financial system.en_US
dc.language.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2011,17en_US
dc.subject.jelG01en_US
dc.subject.jelG28en_US
dc.subject.jelE42en_US
dc.subject.jelE58en_US
dc.subject.ddc330en_US
dc.subject.keywordFinancial Institutionsen_US
dc.subject.keywordFinancial marketsen_US
dc.subject.keywordPaymenten_US
dc.subject.keywordclearingen_US
dc.subject.keywordand settlement systemsen_US
dc.titleAnalyzing default risk and liquidity demand during a financial crisis: The case of Canadaen_US
dc.typeWorking Paperen_US
dc.identifier.ppn667034897en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Bank of Canada Working Papers

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