@article{Assessment:968,
      recid = {968},
      author = {Liu, Ying and Yuan, Mingwei and Papakirykos, Eli},
      title = {Market Valuation and Risk Assessment of Canadian Banks},
      publisher = {Bank of Canada},
      address = {2004},
      pages = {1 online resource (v, 17 pages)},
      abstract = {The authors apply the asset-valuation model developed by  Rabinovitch (1989) to six publicly traded Canadian banks  over the period 1982–2002. The model is an extension of the  Merton (1977a) option-pricing model with the incorporation  of stochastic interest rates. The authors introduce the  Z-score, a measure of distance-to-default, which can be a  useful tool for regulators in assessing the risk of bank  failures. The Z-scores, overall, suggest that Canadian  banks are far from the point of default. The authors also  find that both the market valuation of the bank assets and  the Z-score of the Canadian banks demonstrate similar  regime shifts in the late 1990s, which may be related to  regulatory changes during the 1990s.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/968},
      doi = {https://doi.org/10.34989/swp-2004-34},
}