Oil Price Volatility and Option Implied Risk Connectedness in the Canadian Banking Sector

  • Liangyi Mu, Queen’s University Belfast, Queen’s Business School
  • Yoichi Otsubo*, University of Manchester, Alliance Manchester Business School
  • Xiangjin Shen, Synovus, Model Risk Management Department
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About this Report

This report looks at global oil markets from the period 2007-2022 and examines how price shocks from that market affect the Canadian banking sector. The researchers employ market-based risk measures such as realized volatility, option implied volatility and volatility skew, applied to both bank share prices and crude oil prices, to gain insights into how oil price shocks spread across the financial system.