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

Guillaume Ouellet Leblanc () and Maarten van Oordt

Staff Analytical Notes from Bank of Canada

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.

Keywords: Credit risk management; Financial Institutions (search for similar items in EconPapers)
JEL-codes: G G1 G10 G2 G24 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsan:17-15

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