000	00000nam 2200000zi 4500
001	9.903143
003	CaOODSP
005	20221107180148
006	m     o  d f
007	cr mn|||||||||
008	210908t20212021onca    ob   f000 0 eng d
040	|aCaOODSP|beng|erda|cCaOODSP
086	1 |aFB3-5/2021-35E-PDF
100	1 |aHałaj, Grzegorz, |eauthor.
245	10|aStressed but not helpless : |bstrategic behavior of banks under adverse market conditions / |cby Grzegorz Hałaj and Sofia Priazhkina.
264	1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2021.
264	4|c©2021
300	|a1 online resource (iii, 58 pages) : |bcolour illustrations.
336	|atext|btxt|2rdacontent
337	|acomputer|bc|2rdamedia
338	|aonline resource|bcr|2rdacarrier
490	1 |aStaff working paper = |aDocument de travail du personnel, |x1701-9397 ; |v2021-35
500	|a"Last updated: July 19, 2021."
504	|aIncludes bibliographical references (pages 42-44).
520	3 |a"We model bank management actions in severe stress test conditions using a game-theoretical framework. Banks update their balance sheets to strategically maximize risk-adjusted returns to shareholders given three regulatory constraints and feedback effects related to fire sales, interactions of loan supply and demand, and deteriorating funding conditions. The framework allows us to study the role of strategic behaviors in amplifying or mitigating adverse macrofinancial shocks in a banking system and the role of macroprudential policies in the mitigation of systemic risk. In a macro-consistent stress testing application, we show that a trade-off can arise between banking stability (solvency) and macroeconomic stability (lending) and test whether the release of a countercyclical capital buffer can reduce systemic risk"--Abstract, page iii.
650	0|aBanks and banking|xRisk management|xEconometric models.
650	6|aBanques|xGestion du risque|xModèles économétriques.
710	2 |aBank of Canada, |eissuing body.
830	#0|aStaff working paper (Bank of Canada)|v2021-35.|w(CaOODSP)9.806221
856	40|qPDF|s1.94 MB|uhttps://publications.gc.ca/collections/collection_2021/banque-bank-canada/FB3-5-2021-35-eng.pdf