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Complementing the Credit Risk Assessment of Financial Counterparties with Market-Based Indicators

Author

Listed:
  • Guillaume Ouellet Leblanc
  • Maarten 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.

Suggested Citation

  • Guillaume Ouellet Leblanc & Maarten van Oordt, 2017. "Complementing the Credit Risk Assessment of Financial Counterparties with Market-Based Indicators," Staff Analytical Notes 17-15, Bank of Canada.
    • Handle: RePEc:bca:bocsan:17-15
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    References listed on IDEAS

    as
    1. Neville Arjani & Graydon Paulin, 2013. "Lessons from the Financial Crisis: Bank Performance and Regulatory Reform," Discussion Papers 13-4, Bank of Canada.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    3. Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, vol. 102(3), pages 59-64, May.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Credit risk management; Financial Institutions;

    JEL classification:

    • G - Financial Economics
    • G1 - Financial Economics - - General Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G2 - Financial Economics - - Financial Institutions and Services
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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