Bank of Canada Researchers Add New Findings in the Area of Risk Management (How Much Risk in U.S. Government Bond Markets Is Transmitted to Their Canadian Counterparts?): Insurance – Risk Management

2026 JUL 15 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Investigators discuss new findings in risk management. According to news originating from Ottawa, Canada, by NewsRx editors, the research stated, “We address this question by jointly modeling the distributional dynamics of the U.S. and Canadian term premia.”

Our news reporters obtained a quote from the research from Bank of Canada: “Our approach combines a flexible marginal specification-the Skewed Generalized Error Distribution-with a flexible bivariate copula (BB7) to capture evolving cross-market dependence. We illustrate the usefulness of this framework by examining December 2024, a period marked by a sharp rise in the U.S. term premium, and track how the forecasted joint distributions evolved throughout this episode. We document a striking change in conditional tail dependence between U.S. and Canadian term premia over this period.”

According to the news editors, the research concluded: “While term premia serve as a motivating application, our framework is applicable to a broad class of asset prices and macro-financial variables.”

For more information on this research see: How Much Risk in U.S. Government Bond Markets Is Transmitted to Their Canadian Counterparts?. Risks, 2026,14(6):133. (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks14060133.

Our news journalists report that more information may be obtained by contacting Bruno Feunou, Bank of Canada, Ottawa, ON K1A 0G9, Canada. Additional authors for this research include Jean-Sebastien Fontaine, Robert Hill.

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