00000nam 2200000za 4500 9.864472 CaOODSP 20221107161542 cr ||||||||||| 181108s2018 onca ob f000 0 eng d CaOODSP eng eng fre FB3-5/2018-54E-PDF Van Oordt, Maarten R. C. Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests [electronic resource] / by Maarten R. C. van Oordt. [Ottawa] : Bank of Canada, 2018. ii, 43 p. : col. ill. Bank of Canada staff working paper, 1701-9397 ; 2018-54 "November 2018." Includes bibliographical references (p. 30-35). "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. Includes abstract in French. Bank capital Banks and banking, International International finance Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2018-54. (CaOODSP)9.806221 PDF 603 KB https://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-54-eng.pdf