000 02066nam  2200301za 4500
0019.844357
003CaOODSP
00520221107152729
007cr |||||||||||
008170922s2017    oncd    ob   f000 0 eng d
040 |aCaOODSP|beng
041 |aeng|bfre
043 |an-cn---
0861 |aFB3-1/111-2017E-PDF
1001 |aFique, José.
24514|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
4901 |aTechnical report = Rapport technique, |x1919-689X ; |vno. 111
500 |a"September 2017."
504 |aIncludes bibliographical references (p. 34-36).
5203 |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.
69207|2gccst|aBanks
69207|2gccst|aRisk management
7102 |aBank of Canada.
830#0|aTechnical report (Bank of Canada)|x1919-689X ; |vno. 111|w(CaOODSP)9.505019
85640|qPDF|s1.53 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-1-111-2017-eng.pdf