ACADEMIC ARTICLES

Bank Capital, Securitization and Credit Risk : an Empirical Evidence
by Georges Dionne and Tarek M. Harchaoui                                  

Crédibilité linéaire bivariée utilisant le nombre de périodes avec réclamations : modèles de poisson, modèles à barrière et modèles gonflés à zéro
by Jean-Philippe Boucher et Michel Denuit                              

PROFESSIONAL ARTICLES

Les titres adossés à des créances hypothécaires : caractéristiques et propriétés
by Martin Boyer et François Girard                                               

Calcul du risque de défaut d’entreprises publiques canadiennes
by Jonathan Amar                                                                      

Gestion des risques démographiques – Nouveautés au sujet des régimes provinciaux des soins de la santé
Groupe-conseil Aon                                                                

Origines et développements des pratiques d’assurances en Afrique du Nord : compte rendu d’ouvrage
by Rémi Moreau                                                                        

Current Events
under the responsibility of Rémi Moreau

1. Le rapport annuel des assurances de l’autorité des marchés financiers – 2. Projet d’encadrement des marchés dérivés au Québec – 3. La crise du subprime a frappé de plein fouet le milieu financier et assurantiel – 4. Une initiative du Bac pour mieux faire connaître aux Québécois leurs produits d’assurance – 5. En réassurance, les renouvellements ont été négociés dans la sérénité à Baden-Baden – 6. Les grands courtiers mondiaux sont en mode de restructuration – 7. Le prix Nobel d’économie décerné à trois Américains – 8. Le lien entre réchauffement climatique et catastrophe naturelle – 9. Inondation majeure au Mexique – 10. L’ouragan Sidr dévaste le Bangladesh – 11. D’importants dommages punitifs sont annulés aux États-Unis – 12. Feux dévastateurs en Californie – 13. Un manque d’assurance santé aux États-Unis – 14. Le patron d’une compagnie d’assurance britannique écroué – 15. Internet a du mal à s’imposer en France – 16. Le prolongement du fonds fédéral contre le terrorisme aux États-Unis est voté et signé par le président – 17. Quid des contrats en déshérence?
18. L’état de la pandémie due au virus de l’immunodéficience humaine (VIH)  

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La Part de risque

Bank Capital, Securitization and Credit Risk: an Empirical Evidence
by Georges Dionne and Tarek M. Harchaoui

This paper is one of the first attempts to conduct an empirical investigation of the relationship between bank capital, securitization and bank risk-taking in a context of the rapid growth in off-balance-sheet activities. The data come from the Canadian financial sector. Evidence from the 1988-1998 period indicates that: (a) securitization has a negative statistical link with both current Tier 1 and Total risk-based capital ratios, and (b) there exists a positive statistical link between securitization and bank risk-taking. Profit-risk measure is more sensitive than loss-risk measure to the variation in securitization activity. These results seem to agree, during the studied period, with models indicating that banks might be induced to shift to more risky assets under the current capital requirements for credit risk because the regulatory capital levels are considered too high.

Crédibilité linéaire bivariée utilisant le nombre de périodes avec réclamations : modèles de Poisson, modèles à barrière et modèles gonflés à zéro
by Jean-Philippe Boucher et Michel Denuit

In some situations, it is well-known that the linear credibility approximation is too restrictive and does not model correctly predictive premiums. Recently, Boucher, Denuit and Guillén (2006a, 2006b) proposed various generalizations of the zero-inflated Poisson and the hurdle distributions. For these models, the authors showed that the predictive premium do not depend exclusively on the number of past claims, but also on the number of insured periods with at least one claim. We use the bivariate linear credibility theory to estimate the future premiums based on these two statistics, and compare the approximation with the exact result using Bayesian theory. We show that the approximations for the zero-inflated models are satisfying. However, we also show that the approximations of the hurdle distributions cause major errors. We explain these results by showing that the linear credibility premiums do not suppose dependence between random effects of the models.

Les titres adossés à des créances hypothécaires : caractéristiques et propriétés
by Martin Boyer et François Girard

The mortgage-backed security market in Canada is both mature and developing rapidly. Although mortgage contracts are some of the most common financial contracts on the market, the securitization wave we observed in the eighties was such that these contracts became highly liquid and often transacted. Our article is designed to compare the Canadian mortgage-backed security market with the American market in order to understand the differences between the two markets. Understanding how these markets work is essential is one wants to understand the sub-prime crisis that affected the mortgage-backed security market in the latter part of 2007.

Keywords: Mortgage-backed securities, securitization, governmental agencies.

Calcul du risque de défaut d’entreprises publiques canadiennes
by Jonathan Amar

This article studies the credit risk profiles of publicly traded companies on the TSX through the usage of the Brockman and Turtle model (2003). Given that the market value of assets cannot be observed directly, and in order to render endogenous the default barriers of firms, this model must be adapted to its maximum likelihood equivalent. Therefore, we use the methodology proposed by Duan, Gauthier and Simonato (2004) of the Brockman and Turtle (2003) model.

Keywords: Credit risk, Brockman and Turtle model, Merton model.