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Complementing the credit risk assessment of financial counterparties with market-based indicators

Author: Guillaume Ouellet Leblanc; Maarten R C Van Oordt; Bank of Canada.
Publisher: [Ottawa] : Bank of Canada, ©2017.
Series: Staff analytical note, 2017-15.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
"The Bank's internal credit risk assessment abilities are regularly enhanced. In this note, we present a recent innovation that extends the set of market-based indicators used in the credit risk assessment of financial counterparties. These indicators supplement existing fundamental quantitative and qualitative credit risk analysis by providing a timely reading of markets' perceptions of the credit quality of  Read more...
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Details

Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Guillaume Ouellet Leblanc; Maarten R C Van Oordt; Bank of Canada.
OCLC Number: 1013869251
Language Note: Includes abstract in French.
Notes: Cover title.
Description: 1 online resource (ii, 10 pages) : color charts.
Series Title: Staff analytical note, 2017-15.
Responsibility: by Guillaume Ouellet Leblanc and Maarten R.C. van Oordt.

Abstract:

"The Bank's internal credit risk assessment abilities are regularly enhanced. In this note, we present a recent innovation that extends the set of market-based indicators used in the credit risk assessment of financial counterparties. These indicators supplement existing fundamental quantitative and qualitative credit risk analysis by providing a timely reading of markets' perceptions of the credit quality of financial counterparties"--Abstract, p. [iii].

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