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

Renseignements sur la publication
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
  • FB3-1/111-2017E-PDF
Descripteurs Banks
Risk management
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