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dc.contributor.authorGarcía, Alejandroen
dc.contributor.authorGençay, Ramazanen
dc.date.accessioned2011-12-15T12:58:31Z-
dc.date.available2011-12-15T12:58:31Z-
dc.date.issued2007-
dc.identifier.pidoi:10.34989/swp-2007-25en
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
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2007-25en
dc.subject.jelG00en
dc.subject.jelG10en
dc.subject.jelC10en
dc.subject.ddc330en
dc.subject.keywordEconometric and statistical methodsen
dc.subject.keywordFinancial marketsen
dc.subject.keywordFinancial stabilityen
dc.subject.stwPortfolio-Managementen
dc.subject.stwWertpapieranlageen
dc.subject.stwKreditsicherungen
dc.subject.stwKapitalertragen
dc.subject.stwSchätzungen
dc.subject.stwKanadaen
dc.titleManaging adverse dependence for portfolios of collateral in financial infrastructures-
dc.typeWorking Paperen
dc.identifier.ppn529369036en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:07-25en

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