The MacroFinancial Risk Assessment Framework (MFRAF), version 2.0 / José Fique, Financial Stability Department.: 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 / José Fique, Financial Stability Department. |
| Series title | Technical report = Rapport technique, 1919-689X ; no. 111 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "September 2017." Includes bibliographical references (p. 34-36). Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada, 2017. |
| Author / Contributor | Fique, José. |
| Description | v, 43 p. : col. charts |
| Catalogue number |
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| Subject terms | Banks Risk management |