05087nam 2200685 450 991045359750332120200520144314.01-4755-1438-71-4843-3088-91-4843-3118-4(CKB)2550000001276690(EBL)1676590(SSID)ssj0001217744(PQKBManifestationID)11726848(PQKBTitleCode)TC0001217744(PQKBWorkID)11208047(PQKB)10213956(MiAaPQ)EBC1676590(Au-PeEL)EBL1676590(CaPaEBR)ebr10861172(CaONFJC)MIL598691(OCoLC)878263379(EXLCZ)99255000000127669020140504h20142014 uy 0engurcnu||||||||txtccrCanada financial sector assessment program stress testing, technical note /International Monetary FundWashington, District of Columbia :International Monetary Fund,2014.©20141 online resource (102 p.)IMF Country Reports ;Number 14/69Description based upon print version of record.1-4755-2309-2 1-306-67440-9 Includes bibliographical references.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 Scenario6. 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 Implications4. 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 TEST14. 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 Income22. 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 Calibration13. Outflows of BSL Metric-Run-off Rates CalibrationIn recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries.IMF Staff Country ReportsFinanceDeveloping countriesEvaluationInternational financeDeveloping countriesElectronic books.FinanceEvaluation.International finance332.1091724International Monetary Fund.Monetary and Capital Markets Department,MiAaPQMiAaPQMiAaPQBOOK9910453597503321Canada179841UNINA