Shubhasis Dey

Personal Details

First Name:	Shubhasis
Middle Name:
Last Name:	Dey
Suffix:
RePEc Short-ID:	pde277
	http://www.bankofcanada.ca/ec/sdey/
	Department of Monetary and Financial Analysis Bank of Canada 234 Wellington Street, 3rd Floor, West Tower Ottawa, Ontario K1A 0G9, Canada
	613 782 8067

Affiliation

Bank of Canada

Ottawa, Canada
http://www.bank-banque-canada.ca/
RePEc:edi:bocgvca (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Miroslav Misina & David Tessier & Shubhasis Dey, 2006. "Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector," Staff Working Papers 06-47, Bank of Canada.

   Cited by:

   1. de Bandt, O. & Bruneau, C. & El Amri, W., 2008. "Stress testing and corporate finance," Journal of Financial Stability, Elsevier, vol. 4(3), pages 258-274, September.
      • De Bandt, O. & Bruneau, C. & El Amri, W., 2008. "Stress Testing and Corporate Finance," Working papers 203, Banque de France.
   2. Ferrari, Stijn & Van Roy, Patrick & Vespro, Cristina, 2021. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Journal of Financial Stability, Elsevier, vol. 52(C).
      • Patrick Van Roy & Stijn Ferrari & Cristina Vespro, 2018. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Working Paper Research 338, National Bank of Belgium.
   3. Peter Grundke & Kamil Pliszka & Michael Tuchscherer, 2020. "Model and estimation risk in credit risk stress tests," Review of Quantitative Finance and Accounting, Springer, vol. 55(1), pages 163-199, July.
      • Grundke, Peter & Pliszka, Kamil & Tuchscherer, Michael, 2019. "Model and estimation risk in credit risk stress tests," Discussion Papers 09/2019, Deutsche Bundesbank.
   4. Haithem Awijen & Younes Ben Zaied & Ahmed Imran Hunjra, 2023. "Systematic and Unsystematic Determinants of Sectoral Risk Default Interconnectedness," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 561-587, August.
   5. Zedginidze Zviad, 2012. "Linking Macroeconomic Dynamics to Georgian Credit Portfolio Risk," EERC Working Paper Series 12/07e, EERC Research Network, Russia and CIS.
   6. Ruja, Catalin, 2014. "Macro Stress-Testing Credit Risk in Romanian Banking System," MPRA Paper 58244, University Library of Munich, Germany.
   7. Grundke, Peter & Pliszka, Kamil, 2015. "A macroeconomic reverse stress test," Discussion Papers 30/2015, Deutsche Bundesbank.
      • Peter Grundke & Kamil Pliszka, 2018. "A macroeconomic reverse stress test," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1093-1130, May.
   8. Wang, Zheqi & Crook, Jonathan & Andreeva, Galina, 2020. "Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default," European Journal of Operational Research, Elsevier, vol. 287(2), pages 725-738.
   9. Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 235-253, March.
      • Gabriel Jiménez & Javier Mencía, 2007. "Modeling the distribution of credit losses with observable and latent factors," Working Papers 0709, Banco de España.
   10. Gauthier, Céline & Lehar, Alfred & Souissi, Moez, 2012. "Macroprudential capital requirements and systemic risk," Journal of Financial Intermediation, Elsevier, vol. 21(4), pages 594-618.
   11. Philip Arestis & Maggie Mo Jia, 2019. "Credit risk and macroeconomic stress tests in China," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(3), pages 211-225, September.
   12. Miroslav Misina & David Tessier, 2008. "Non-Linearities, Model Uncertainty, and Macro Stress Testing," Staff Working Papers 08-30, Bank of Canada.
   13. Schweikert, Jochen & Höchstötter, Markus, 2018. "Epidemiological spreading of mortgage default," Working Paper Series in Economics 112, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
   14. Thomas Breuer & Martin Jandačka & Javier Mencía & Martin Summer, 2010. "A systematic approach to multi-period stress testing of portfolio credit risk," Working Papers 1018, Banco de España.
       • Breuer, Thomas & Jandačka, Martin & Mencía, Javier & Summer, Martin, 2012. "A systematic approach to multi-period stress testing of portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 332-340.
   15. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
       • Claudio Borio & Mathias Drehmann & Kostas Tsatsaronis, 2012. "Stress-testing macro stress testing: does it live up to expectations?," BIS Working Papers 369, Bank for International Settlements.
   16. Ramdane Djoudad & Étienne Bordeleau, 2013. "Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne," Discussion Papers 13-2, Bank of Canada.
   17. Delli Gatti, Domenico & Gallegati, Mauro & Greenwald, Bruce & Russo, Alberto & Stiglitz, Joseph E., 2010. "The financial accelerator in an evolving credit network," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1627-1650, September.
   18. Bo Jiang & Bruce Philp & Zhongmin Wu, 2018. "Macro stress testing in the banking system of China," Journal of Banking Regulation, Palgrave Macmillan, vol. 19(4), pages 287-298, November.
   19. Sanatkhani , Mahboobeh & Bazzazan , Fatemeh, 2021. "Stress Testing of Credit Risk in Iran’s Banking System," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(1), pages 93-114, March.
   20. Lubomira Gertler & Kristina Janovicova-Bognarova & Lukas Majer, 2020. "Explaining Corporate Credit Default Rates with Sector Level Detail," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 70(2), pages 96-120, August.
   21. Céline Gauthier & Moez Souissi & Xuezhi Liu, 2014. "Introducing Funding Liquidity Risk in a Macro Stress-Testing Framework," International Journal of Central Banking, International Journal of Central Banking, vol. 10(4), pages 105-142, December.

2. Shubhasis Dey, 2005. "Lines of Credit and Consumption Smoothing: The Choice between Credit Cards and Home Equity Lines of Credit," Staff Working Papers 05-18, Bank of Canada.

   Cited by:

   1. Bergerès, Anne-Sophie & D'Astous, Philippe & Dionne, Georges, 2013. "Is there any dependence between consumer credit line utilization and default probability on a term loan? Evidence from bank-level data," Working Papers 11-3, HEC Montreal, Canada Research Chair in Risk Management.
      • Anne-Sophie Bergerès & Philippe d'Astous & Georges Dionne, 2011. "Is there Any Dependence Between Consumer Credit Line Utilization and Default Probability on a Term Loan? Evidence from Bank-Level Data," Cahiers de recherche 1119, CIRPEE.
   2. Bergerès, Anne-Sophie & d'Astous, Philippe & Dionne, Georges, 2015. "Is there any dependence between consumer credit line utilization and default probability on a term loan? Evidence from bank-customer data," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 276-286.

3. Shubhasis Dey & Gene Mumy, 2005. "Determinants of Borrowing Limits on Credit Cards," Staff Working Papers 05-7, Bank of Canada.

   Cited by:

   1. Shubhasis Dey, 2005. "Lines of Credit and Consumption Smoothing: The Choice between Credit Cards and Home Equity Lines of Credit," Staff Working Papers 05-18, Bank of Canada.
   2. Berg, Nathan & Kim, Jeong-Yoo, 2010. "Demand for Self Control: A model of Consumer Response to Programs and Products that Moderate Consumption," MPRA Paper 26593, University Library of Munich, Germany.
   3. Jambulapati, Vikram & Stavins, Joanna, 2014. "Credit CARD Act of 2009: What did banks do?," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 21-30.
      • Vikram Jambulapati & Joanna Stavins, 2013. "The Credit CARD Act of 2009: what did banks do?," Public Policy Discussion Paper 13-7, Federal Reserve Bank of Boston.
   4. Cheng, X. & Degryse, H.A., 2010. "Information Sharing and Credit Rationing : Evidence from the Introduction of a Public Credit Registry," Discussion Paper 2010-34S, Tilburg University, Center for Economic Research.
      • Cheng, X. & Degryse, H.A., 2010. "Information Sharing and Credit Rationing : Evidence from the Introduction of a Public Credit Registry," Other publications TiSEM f9233965-83d5-4dae-b5f7-6, Tilburg University, School of Economics and Management.
      • Cheng, X. & Degryse, H.A., 2010. "Information Sharing and Credit Rationing : Evidence from the Introduction of a Public Credit Registry," Other publications TiSEM cd9dc3c1-4146-4d2a-8a9a-f, Tilburg University, School of Economics and Management.
   5. Joanna Stavins, 2020. "Credit Card Debt and Consumer Payment Choice: What Can We Learn from Credit Bureau Data?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 58(1), pages 59-90, August.
      • Joanna Stavins, 2018. "Credit card debt and consumer payment choice: what can we learn from credit bureau data?," Working Papers 18-7, Federal Reserve Bank of Boston.

Articles

1. Shubhasis Dey & Ramdane Djoudad & Yaz Terajima, 2008. "A Tool for Assessing Financial Vulnerabilities in the Household Sector," Bank of Canada Review, Bank of Canada, vol. 2008(Summer), pages 47-56.

   Cited by:

   1. Lei He & Shuyi Zhou, 2022. "Household Financial Vulnerability to Income and Medical Expenditure Shocks: Measurement and Determinants," IJERPH, MDPI, vol. 19(8), pages 1-17, April.
   2. Michael Funke & Rongrong Sun & Linxu Zhu, 2018. "The Credit Risk of Chinese Households – A Micro-Level Assessment," CFDS Discussion Paper Series 2018/3, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
      • Funke, Michael & Sun, Rongrong & Zhu, Linxu, 2018. "The credit risk of Chinese households: A micro-level assessment," BOFIT Discussion Papers 12/2018, Bank of Finland Institute for Emerging Economies (BOFIT).
      • Michael Funke & Rongrong Sun & Linxu Zhu, 2022. "The credit risk of Chinese households: A micro‐level assessment," Pacific Economic Review, Wiley Blackwell, vol. 27(3), pages 254-276, August.
   3. Jooyung Lee, 2015. "Development of statistics for aggregate household debt service ratio in Korea," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Assessing household financial positions in Asia, volume 40, Bank for International Settlements.
   4. Piotr Bialowolski & Dorota Weziak-Bialowolska, 2014. "The Index of Household Financial Condition, Combining Subjective and Objective Indicators: An Appraisal of Italian Households," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 118(1), pages 365-385, August.
   5. Ampudia, Miguel & van Vlokhoven, Has & Żochowski, Dawid, 2016. "Financial fragility of euro area households," Journal of Financial Stability, Elsevier, vol. 27(C), pages 250-262.
      • Żochowski, Dawid & Ampudia, Miguel & van Vlokhoven, Has, 2014. "Financial fragility of euro area households," Working Paper Series 1737, European Central Bank.
   6. Nicolae Dardac & Iustina Boitan, 2009. "The Impact Of Household Sector Risks To The Soundness Of The Romanian Banking System," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 1-59.
   7. Liaqat Ali & Muhammad Kamran Naqi Khan & Habib Ahmad, 2020. "Education of the Head and Financial Vulnerability of Households: Evidence from a Household’s Survey Data in Pakistan," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 147(2), pages 439-463, January.
   8. Piotr Bialowolski & Dorota Weziak-Bialowolska & Eileen McNeely, 2021. "The Role of Financial Fragility and Financial Control for Well-Being," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 155(3), pages 1137-1157, June.
   9. Ramdane Djoudad, 2012. "A Framework to Assess Vulnerabilities Arising from Household Indebtedness Using Microdata," Discussion Papers 12-3, Bank of Canada.
      • Ramdane Djoudad, 2011. "A framework to assess vulnerabilities arising from household indebtedness using microdata," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 151-168, Bank for International Settlements.
   10. James MacGee, 2012. "The Rise in Consumer Credit and Bankruptcy: Cause for Concern?," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 346, April.
   11. Cifuentes, Rodrigo & Margaretic, Paula & Saavedra, Trinidad, 2020. "Measuring households' financial vulnerabilities from consumer debt: Evidence from Chile," Emerging Markets Review, Elsevier, vol. 43(C).
   12. Lemus, Antonio & Pulgar, Carlos, 2021. "Households’ Debt Thresholds: A Market Aspects Approach," MPRA Paper 106958, University Library of Munich, Germany.
   13. Felipe Martínez & Rodrigo Cifuentes & Carlos Madeira & Rubén Poblete-Cazenave, 2013. "Measurement of Household Financial Risk with the Survey of Household Finances," Working Papers Central Bank of Chile 682, Central Bank of Chile.
   14. Kartashova, Katya & Tomlin, Ben, 2017. "House prices, consumption and the role of non-Mortgage debt," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 121-134.
       • Katya Kartashova & Ben Tomlin, 2013. "House Prices, Consumption and the Role of Non-Mortgage Debt," Staff Working Papers 13-2, Bank of Canada.
   15. Kim, Young Il & Kim, Hyoung Chan & Yoo, Joo Hee, 2016. "Household Over-indebtedness and Financial Vulnerability in Korea: Evidence from Credit Bureau Data," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 38(3), pages 53-77.
   16. Liaqat Ali & Muhammad Kamran Naqi Khan & Habib Ahmad, 2020. "Financial Fragility of Pakistani Household," Journal of Family and Economic Issues, Springer, vol. 41(3), pages 572-590, September.
   17. Nataliya Barasinska & Philipp Haenle & Anne Koban & Alexander Schmidt, 2023. "No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk," Journal of Financial Services Research, Springer;Western Finance Association, vol. 64(3), pages 369-399, December.
   18. Ashley Dunstan & Hayden Skilling, 2015. "Vulnerability of new mortgage borrowers prior to the introduction of the LVR speed limit: Insights from the Household Economic Survey," Reserve Bank of New Zealand Analytical Notes series AN2015/02, Reserve Bank of New Zealand.
   19. Hosung Jung & Hyun Hak Kim, 2020. "Default Probability by Employment Status in South Korea," Asian Economic Papers, MIT Press, vol. 19(3), pages 62-84, Fall.
   20. Barasinska, Nataliya & Haenle, Philipp & Koban, Anne & Schmidt, Alexander, 2019. "Stress testing the German mortgage market," Discussion Papers 17/2019, Deutsche Bundesbank.
   21. Rodrigo Cifuentes & Felipe Martínez, 2020. "Over-indebtedness in Households: Measurement and Determinants," Working Papers Central Bank of Chile 869, Central Bank of Chile.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-FMK: Financial Markets (3) 2005-04-03 2005-07-18 2006-12-22
2. NEP-BEC: Business Economics (2) 2005-07-18 2006-12-22
3. NEP-BAN: Banking (1) 2006-12-22
4. NEP-CSE: Economics of Strategic Management (1) 2006-12-22
5. NEP-DCM: Discrete Choice Models (1) 2005-07-18
6. NEP-MIC: Microeconomics (1) 2005-04-03
7. NEP-URE: Urban and Real Estate Economics (1) 2005-07-18

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