00000nam 2200000zi 4500 9.903143 CaOODSP 20221107180148 m o d f cr mn||||||||| 210908t20212021onca ob f000 0 eng d CaOODSP eng rda CaOODSP FB3-5/2021-35E-PDF Hałaj, Grzegorz, author. Stressed but not helpless : strategic behavior of banks under adverse market conditions / by Grzegorz Hałaj and Sofia Priazhkina. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 1 online resource (iii, 58 pages) : colour illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-35 "Last updated: July 19, 2021." Includes bibliographical references (pages 42-44). "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. Banks and banking Risk management Econometric models. Banques Gestion du risque Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2021-35. (CaOODSP)9.806221 PDF 1.94 MB https://publications.gc.ca/collections/collection_2021/banque-bank-canada/FB3-5-2021-35-eng.pdf