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Record Nr. |
UNINA9910791044003321 |
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Titolo |
Canada : : Financial Sector Assessment Program-Stress Testing-Technical Note |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2014 |
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ISBN |
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1-4755-1438-7 |
1-4843-3088-9 |
1-4843-3118-4 |
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Descrizione fisica |
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1 online resource (102 p.) |
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Collana |
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IMF Staff Country Reports |
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Disciplina |
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Soggetti |
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Finance - Developing countries - Evaluation |
International finance - Developing countries |
Banks and Banking |
Finance: General |
Macroeconomics |
Money and Monetary Policy |
Industries: Financial Services |
Banks |
Depository Institutions |
Micro Finance Institutions |
Mortgages |
Personal Income, Wealth, and Their Distributions |
Financial Institutions and Services: Government Policy and Regulation |
Financing Policy |
Financial Risk and Risk Management |
Capital and Ownership Structure |
Value of Firms |
Goodwill |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Banking |
Finance |
Financial services law & regulation |
Monetary economics |
Personal income |
Stress testing |
Credit risk |
Credit |
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National accounts |
Financial sector policy and analysis |
Financial regulation and supervision |
Money |
Loans |
Financial institutions |
Financial risk management |
Banks and banking |
Income |
Canada |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Cover; Contents; Glossary; INTRODUCTION AND OVERVIEW; A. Overview of Stress Tests; TABLES; 1. Stress Testing Recommendations; SCENARIOS; BANKING SECTOR-SOLVENCY STRESS TESTS; BANKING SECTOR-LIQUIDITY AND FUNDING STRESS TESTS-INDIVIDUAL AND NETWORK EFFECTS; A. Bottom-up Stress Test; A. Recommendations and Policy Implications; 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 B. IMF Top-down Stress Test; FIGURES; 1. IMF Top Down Approach; 7. Mapping Basel II Asset Classes and Exposures by Economic Sectors into New Basel II Asset Classes; 8. Dividends Distribution Schedule; 2. Geographical and Sectoral Distribution of Losses and Exposures; 3. IMF TD Solvency Stress Test Results-Sensitivity Analysis; C. OSFI Top-down Stress Test; BOX; 1. OSFI Algorithm to Project Loan Book; D. Reconciliation of Results; 9. Main Differences Between Different Approaches; E. Recommendations and Policy Implications |
4. Macro-financial Risk Assessment Framework (MFRAF) of the BoC5. 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; LIFE INSURANCE SECTOR-SOLVENCY STRESS TEST; 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; CMHC SOLVENCY STRESS TEST |
14. Contribution to MCCSR Deviation from Baseline 10. FSIs: Big 6 versus the Rest of the Banking System; ANNEX; I. Statistical Annex; 15. Developments in Banking Sector; 11. Summary of Banks' Stress Testing Results; 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 |
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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; 12. Liquid and Illiquid Assets of the BSL Metric-Haircuts Calibration |
13. Outflows of BSL Metric-Run-off Rates Calibration |
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Sommario/riassunto |
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This paper examines the stress testing module of the 2013 Financial Sector Assessment Program (FSAP) update for Canada. The IMF report highlights the three major segments of the domestic financial covered during the stress tests. The bank solvency stress tests suggest that while all banks would fall below the Canadian “all-in” Common Equity Tier 1 (CET1) supervisory threshold during severe economic distress, the resulting recapitalization needs are manageable. This IMF report provides recommendations for the Canadian authorities, derived from this joint exercise, to enhance the individual components of their stress testing framework. |
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