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