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Book

Taxing Systemic Risk

How does one regulate systemic risk in the financial sector? We propose charging each financial firm a tax based on its expected loss during a systemic crisis.

Book

How to Calculate Systemic Risk Surcharges

Many argue that financial regulation should focus on limiting systemic risk. This chapter examines one proposed regulatory idea: that each institution must face a "surcharge" based on the extent to which it is likely to contribute to systemic risk.

Book

Monitoring Leverage

While the interest rate has been regarded as the single key feature of a loan, we argue that leverage is a more important measure of systemic risk. We discuss how leverage can be monitored, and highlight the benefits of doing so.

Book

Hedge Funds in the Aftermath of the Financial Crisis

There is little evidence to suggest that hedge funds caused the financial crisis or contributed to its severity in any significant way. However, they do have the potential to generate systemic risk. We outline four policy actions to address this.

Journal Article

When Do Bond Markets Reward Investors for Interest Rate Risk?

Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.

Journal Article

Markets in Crisis

History has not dealt kindly with investors in the aftermath of protracted periods of low-risk premiums.

Journal Article

How Costly Is Financial (Not Economic) Distress?

This paper studies 31 highly leveraged transactions (HLTs) of the 1980s that subsequently became financially distressed.

Journal Article

Market Rate Expectations and Forward Rates

Three main forces determine the term structure of forward rates: the market’s rate expectations; required bond risk premia; and the convexity bias.

Journal Article

How Much Should DC Savers Worry About Expected Returns?

DC savings analyses typically anchor on long-term stock and bond returns when estimating retirement income.

Journal Article

The Canadian Dollar as a Reserve Currency

A clear reflection of Canada’s relative economic resilience during the global financial crisis of 2007‒2009 is the growth in the share of foreign exchange reserves that other countries hold in Canadian-dollar securities, particularly those issued by the Government of Canada.