Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests / by Maarten R. C. van Oordt.: FB3-5/2018-54E-PDF
"This paper proposes a novel methodology to calibrate the magnitude of the cap on the countercyclical capital buffer (CCyB) using market-based stress tests. The macroprudential authority in our paper aims to contain the possibility of a breach of a minimum capital ratio in the event of a severe system-wide shock within a certain permissible failure probability"--Abstract, p. ii.
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests / by Maarten R. C. van Oordt. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2018-54 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "November 2018." Includes bibliographical references (p. 30-35). Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada, 2018. |
| Author / Contributor | Van Oordt, Maarten R. C. |
| Description | ii, 43 p. : col. ill. |
| Catalogue number |
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| Subject terms | Bank capital Banks and banking, International International finance |
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