Canada : Financial Sector Assessment Program-Stress Testing-Technical Note.
International Monetary Fund. Monetary and Capital Markets. Department
Bok Engelsk 2014 · Electronic books.
| Omfang | 1 online resource (102 pages)
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| Utgave | 1st ed.
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| Opplysninger | Cover -- Contents -- Glossary -- INTRODUCTION AND OVERVIEW -- A. Overview of Stress Tests -- SCENARIOS -- BANKING SECTOR-SOLVENCY STRESS TESTS -- A. Bottom-up Stress Test -- B. IMF Top-down Stress Test -- C. OSFI Top-down Stress Test -- D. Reconciliation of Results -- E. Recommendations and Policy Implications -- BANKING SECTOR-LIQUIDITY AND FUNDING STRESS TESTS-INDIVIDUAL AND NETWORK EFFECTS -- A. Recommendations and Policy Implications -- LIFE INSURANCE SECTOR-SOLVENCY STRESS TEST -- CMHC SOLVENCY STRESS TEST -- References -- TABLES -- 1. Stress Testing Recommendations -- 2. Regulatory and Supervisory Capital Requirements -- 3. Mapping Economic Sectors from the BU into Economic Sectors Used in BoC Estimation of PDs -- 4. Capital Conservation Rule for Dividends Distribution -- 5. IRBBB Spreads Under the Stress-test Scenario -- 6. Trading Book Risk Parameters Under the Stress-test Scenario -- 7. Mapping Basel II Asset Classes and Exposures by Economic Sectors into New Basel II Asset Classes -- 8. Dividends Distribution Schedule -- 9. Main Differences Between Different Approaches -- 10. FSIs: Big 6 versus the Rest of the Banking System -- 11. Summary of Banks' Stress Testing Results -- 12. Liquid and Illiquid Assets of the BSL Metric-Haircuts Calibration -- 13. Outflows of BSL Metric-Run-off Rates Calibration -- 14. Stress Test Matrix (STeM): Solvency and Liquidity Risks and Network Effects -- FIGURES -- 1. IMF Top Down Approach -- 2. Geographical and Sectoral Distribution of Losses and Exposures -- 3. IMF TD Solvency Stress Test Results-Sensitivity Analysis -- 4. Macro-financial Risk Assessment Framework (MFRAF) of the BoC -- 5. MFRAF Modules -- 6. MFRAF Modulus Timing -- 7. The BoC Liquidity and Network Stress Test Results, Baseline Scenario -- 8. Aggregate Loss Distributions, Baseline Scenario.. - 9. The BoC Liquidity and Network Stress Test Results, Adverse Scenario -- 10. Aggregate Loss Distributions, Adverse Scenario -- 11. Total MCCSR Ratio in Baseline and Adverse Scenario -- 12. Total Tier 1 Ratio in Baseline and Adverse Scenario -- 13. Net Income in Baseline and Adverse Scenario -- 14. Contribution to MCCSR Deviation from Baseline -- 15. Developments in Banking Sector -- 16. Scenarios-Canada, Main Variables -- 17. Scenarios-US, Euro Area, Other, Main Variables -- 18. IMF Top Down Model of Income Statement-Interest Income -- 19. IMF Top Down Model of Income Statement-Interest Expense -- 20. IMF Top Down Model of Income Statement-Trading Income -- 21. IMF Top Down Model of Income Statement-Non-interest Income -- 22. IMF Top Down Model of Income Statement-Non-interest Expense -- 23. IMF Top Down Assumptions-Loans, Deposits -- 24. IMF Top Down Assumptions-Loans, Balance Sheet -- 25. Solvency Stress Test Results -- 26. Drivers of Stress Test Results-Contributions to CET1 Change -- 27. Drivers of Stress Test Results-Contributions to Net Income -- 28. Net Income and RWAs-Comparison -- 29. Net Income and RWAs-Comparison -- 30. Parameters of RWAs and Expected Losses-Comparison -- 31. Recapitalization Needs-as Percent in gross income -- BOX -- 1. OSFI Algorithm to Project Loan Book -- ANNEX -- I. Statistical Annex.. - In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries.
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| Emner | |
| Sjanger | |
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| ISBN | 9781484331187
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