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

Guillaume Ouellet Leblanc, Maarten van Oordt

Research output: Book / ReportReportProfessional

Abstract

The Bank of Canada’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.
Original languageEnglish
Publication statusPublished - 2017

Publication series

NameBank of Canada Staff Analytical Note
No.2017-15
ISSN (Electronic)369-9639

Keywords

  • Credit risk management
  • Counterparty risk
  • Central bank
  • Market information

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