08377oam 22015014 450 991082842770332120240402134201.01-4755-1438-71-4843-3088-91-4843-3118-4(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(IMF)1CANEE2014007(IMF)1CANEA2014007(EXLCZ)99255000000127669020020129d2014 uf 0engurcnu||||||||txtccrCanada : Financial Sector Assessment Program-Stress Testing-Technical Note1st ed.Washington, D.C. :International Monetary Fund,2014.1 online resource (102 p.)IMF Staff Country ReportsDescription 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 CalibrationThis 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.IMF Staff Country Reports; Country Report ;No. 2014/069FinanceDeveloping countriesEvaluationInternational financeDeveloping countriesBanks and BankingimfFinance: GeneralimfMacroeconomicsimfMoney and Monetary PolicyimfIndustries: Financial ServicesimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfPersonal Income, Wealth, and Their DistributionsimfFinancial Institutions and Services: Government Policy and RegulationimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfBankingimfFinanceimfFinancial services law & regulationimfMonetary economicsimfPersonal incomeimfStress testingimfCredit riskimfCreditimfNational accountsimfFinancial sector policy and analysisimfFinancial regulation and supervisionimfMoneyimfLoansimfFinancial institutionsimfFinancial risk managementimfBanks and bankingimfIncomeimfCanadaimfFinanceEvaluation.International financeBanks and BankingFinance: GeneralMacroeconomicsMoney and Monetary PolicyIndustries: Financial ServicesBanksDepository InstitutionsMicro Finance InstitutionsMortgagesPersonal Income, Wealth, and Their DistributionsFinancial Institutions and Services: Government Policy and RegulationFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralBankingFinanceFinancial services law & regulationMonetary economicsPersonal incomeStress testingCredit riskCreditNational accountsFinancial sector policy and analysisFinancial regulation and supervisionMoneyLoansFinancial institutionsFinancial risk managementBanks and bankingIncome332.1091724International Monetary Fund.Monetary and Capital Markets Department,DcWaIMFBOOK9910828427703321Canada179841UNINA