Publications

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Publication Library


Article

Progress Toward 2021 Canadian Monetary Policy Renewal

The Bank of Canada (BoC) is in the process of a multi-year review in advance of the renewal of its monetary policy framework in 2021. Culminating in an inflation-control agreement with the Government of Canada every five years, the renewal process adds credibility to the Bank’s inflation objective and underpins its operational independence. This paper is a summary of the virtual workshop the BoC held on August 26th titled “Towards the 2021 Renewal of the Monetary Policy Framework.

Academic Final Report

Data-Sharing Frameworks In Financial Services: Discussing Open Banking Regulation for Canada

This research paper reviews the components of open banking, including APIs and screen scraping. The author discusses the implications for traditional banks, FinTechs and Third Party Providers (TPPs) within data-sharing frameworks. The paper then reviews the implementations in the U.K. and Australia, and the potential implications for Canada’s financial system.

Research Report

Machine Learning: The Benefits and Pitfalls

This research report explains the tools commonly used in Machine Learning, identifies some of the challenges machine learning poses for financial institutions and formulates key questions that senior management should ask with respect to machine learning applications.

Article

Model Risk Management in the Current Pandemic Environment

The rapidly changing environment of the pandemic has strained the process of model development and independent validation functions in risk management. This paper discusses selected challenges institutions may face in its model risk management process and addresses some of these challenges, leveraging its traditional infrastructure for managing all risks on an enterprise wide level.

Academic Final Report

The Canadian Pension Fund Model: A Quantitative Portrait

Between 2004 and 2018, Canadian pension funds outperformed their international peers both in terms of asset performance and liability hedging. This project shows a central factor driving this success is the implementation of a three-pillar business model that consists of i) managing assets in-house to reduce costs, ii) redeploying resources to investment teams for each asset class, and iii) channeling capital toward growth assets that increase portfolio efficiency and hedge liability risks.

Academic Final Report

Risk Shifting Versus Risk Management: Canadian Pension Plan Liability Discount Rates

The design of a pension plan should reflect preferences of the stake holders and be resilient to economic, financial and demographic stresses. Observers have often assumed that moral hazard plays a role in pension fund asset allocation. However, based on our empirical findings, it is fair to highlight that, in Canada, discount rates are a reflection of risk preferences, rather than of regulatory structure or political incentives.

Industry Report

Forced Retirement Risk and Portfolio Choice

Older workers in Canada and the U.S. face a significant risk of being forced to retire before their planned retirement ages. In this project, we examine the implications of this risk on late-in-life portfolio management.

Article

Canadian Bank Dividends: Income Importance During and Beyond the Pandemic

This article explores the benefits of Canadian bank dividends, beginning with two areas that are often too little recognized. The first is the significance of Canadian bank dividends to sustaining household cash flow and liquidity, including their rising share of retail investor incomes, attractive absolute and relative yields, and dependability. The second is the crucial role of bank dividends in seniors’ incomes, including the structural trends boosting their importance in funding retirees’ spending needs.

Industry Report

Canadians’ Preparation for Retirement (CPR)

In this report, we present and describe a comprehensive stochastic retirement income calculator (Canadians’ Preparedness for Retirement, or CPR) that will be made available to the general public in the near future.

Academic Final Report

The Impact of Derivatives on Cash Markets: Evidence from the Introduction of Bitcoin Futures Contracts

According to industry research, total cryptocurrency derivatives trading volume in futures, options, and swaps surpassed $3 trillion USD in 2019. In this research we study whether the introduction of cryptocurrency derivatives is beneficial or detrimental to the underlying cryptocurrency spot markets.