The MacroFinancial Risk Assessment Framework (MFRAF), version 2.0 / José Fique, Financial Stability Department. : FB3-1/111-2017E-PDF
"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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.844357&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | The MacroFinancial Risk Assessment Framework (MFRAF), version 2.0 / José Fique, Financial Stability Department. |
| Titre de la série | Technical report = Rapport technique, 1919-689X ; no. 111 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "September 2017." Includes bibliographical references (p. 34-36). Includes abstract in French. |
| Information sur la publication | [Ottawa] : Bank of Canada, 2017. |
| Auteur / Contributeur | Fique, José. |
| Description | v, 43 p. : col. charts |
| Numéro de catalogue |
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| Descripteurs | Banks Risk management |
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