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The MacroFinancial Risk Assessment Framework (MFRAF), version 2.0: FB3-1/111-2017E-PDF

"This report provides a detailed technical description of the updated MacroFinancial Risk Assessment Framework (MFRAF), which replaces the version described in Gauthier, Souissi and Liu (2014) as the Bank of Canada’s stress-testing model for banks with a focus on domestic systemically important banks (D-SIBs). This new version incorporates the characteristics of the previous model and also includes fire-sale effects resulting from the regulatory leverage constraints faced by banks, as well as an enhanced treatment of feedback-loop effects between solvency and liquidity risks through both the pricing and costly asset-liquidation channels. These new features improve the model’s ability to capture the non-linear effects of risk scenarios on D-SIBs’ capital positions and shed light on the importance of additional channels of stress propagation. The model is also subject to a comprehensive sensitivity analysis"--Abstract, p. v.

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Department/Agency Bank of Canada.
Title The MacroFinancial Risk Assessment Framework (MFRAF), version 2.0
Series Title Technical report,
Publication Type Series - View Master Record
Language [English]
Format Electronic
Electronic Document

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Note "September 2017."
Date 2017.
Number of Pages v, 43 p. :
Catalogue Number
  • FB3-1/111-2017E-PDF
Subject Terms Banks, Risk management