00000nam 2200000za 4500 9.844357 CaOODSP 20221107152729 cr ||||||||||| 170922s2017 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-1/111-2017E-PDF Fique, José. The MacroFinancial Risk Assessment Framework (MFRAF), version 2.0 [electronic resource] / José Fique, Financial Stability Department. [Ottawa] : Bank of Canada, 2017. v, 43 p. : col. charts Technical report = Rapport technique, 1919-689X ; no. 111 "September 2017." Includes bibliographical references (p. 34-36). "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. Includes abstract in French. gccst Banks gccst Risk management Bank of Canada. Technical report (Bank of Canada) 1919-689X ; no. 111 (CaOODSP)9.505019 PDF 1.53 MB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-1-111-2017-eng.pdf