|
000
| 02066cam 2200301za 4500 |
|---|
| 001 | 9.844357 |
|---|
| 003 | CaOODSP |
|---|
| 005 | 20221107152729 |
|---|
| 007 | cr ||||||||||| |
|---|
| 008 | 170922s2017 oncd ob f000 0 eng d |
|---|
| 040 | |aCaOODSP|beng |
|---|
| 041 | |aeng|bfre |
|---|
| 043 | |an-cn--- |
|---|
| 086 | 1 |aFB3-1/111-2017E-PDF |
|---|
| 100 | 1 |aFique, José. |
|---|
| 245 | 14|aThe MacroFinancial Risk Assessment Framework (MFRAF), version 2.0 |h[electronic resource] / |cJosé Fique, Financial Stability Department. |
|---|
| 260 | |a[Ottawa] : |bBank of Canada, |c2017. |
|---|
| 300 | |av, 43 p. : |bcol. charts |
|---|
| 490 | 1 |aTechnical report = Rapport technique, |x1919-689X ; |vno. 111 |
|---|
| 500 | |a"September 2017." |
|---|
| 504 | |aIncludes bibliographical references (p. 34-36). |
|---|
| 520 | 3 |a"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. |
|---|
| 546 | |aIncludes abstract in French. |
|---|
| 692 | 07|2gccst|aBanks |
|---|
| 692 | 07|2gccst|aRisk management |
|---|
| 710 | 2 |aBank of Canada. |
|---|
| 830 | #0|aTechnical report (Bank of Canada)|x1919-689X ; |vno. 111|w(CaOODSP)9.505019 |
|---|
| 856 | 40|qPDF|s1.53 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-1-111-2017-eng.pdf |
|---|