LEADER 08377oam 22015014 450 001 9910828427703321 005 20240402134201.0 010 $a1-4755-1438-7 010 $a1-4843-3088-9 010 $a1-4843-3118-4 035 $a(CKB)2550000001276690 035 $a(EBL)1676590 035 $a(SSID)ssj0001217744 035 $a(PQKBManifestationID)11726848 035 $a(PQKBTitleCode)TC0001217744 035 $a(PQKBWorkID)11208047 035 $a(PQKB)10213956 035 $a(MiAaPQ)EBC1676590 035 $a(Au-PeEL)EBL1676590 035 $a(CaPaEBR)ebr10861172 035 $a(CaONFJC)MIL598691 035 $a(OCoLC)878263379 035 $a(IMF)1CANEE2014007 035 $a(IMF)1CANEA2014007 035 $a(EXLCZ)992550000001276690 100 $a20020129d2014 uf 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCanada : $eFinancial Sector Assessment Program-Stress Testing-Technical Note 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2014. 215 $a1 online resource (102 p.) 225 1 $aIMF Staff Country Reports 300 $aDescription based upon print version of record. 311 $a1-4755-2309-2 311 $a1-306-67440-9 320 $aIncludes bibliographical references. 327 $aCover; 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 327 $a6. 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 327 $a4. 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 327 $a14. 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 327 $a22. 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 327 $a13. Outflows of BSL Metric-Run-off Rates Calibration 330 3 $aThis paper examines the stress testing module of the 2013 Financial Sector Assessment Program (FSAP) update for Canada. The IMF report highlights the three major segments of the domestic financial covered during the stress tests. The bank solvency stress tests suggest that while all banks would fall below the Canadian ?all-in? Common Equity Tier 1 (CET1) supervisory threshold during severe economic distress, the resulting recapitalization needs are manageable. This IMF report provides recommendations for the Canadian authorities, derived from this joint exercise, to enhance the individual components of their stress testing framework. 410 0$aIMF Staff Country Reports; Country Report ;$vNo. 2014/069 606 $aFinance$zDeveloping countries$xEvaluation 606 $aInternational finance$zDeveloping countries 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aMacroeconomics$2imf 606 $aMoney and Monetary Policy$2imf 606 $aIndustries: Financial Services$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aPersonal Income, Wealth, and Their Distributions$2imf 606 $aFinancial Institutions and Services: Government Policy and Regulation$2imf 606 $aFinancing Policy$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aCapital and Ownership Structure$2imf 606 $aValue of Firms$2imf 606 $aGoodwill$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aBanking$2imf 606 $aFinance$2imf 606 $aFinancial services law & regulation$2imf 606 $aMonetary economics$2imf 606 $aPersonal income$2imf 606 $aStress testing$2imf 606 $aCredit risk$2imf 606 $aCredit$2imf 606 $aNational accounts$2imf 606 $aFinancial sector policy and analysis$2imf 606 $aFinancial regulation and supervision$2imf 606 $aMoney$2imf 606 $aLoans$2imf 606 $aFinancial institutions$2imf 606 $aFinancial risk management$2imf 606 $aBanks and banking$2imf 606 $aIncome$2imf 607 $aCanada$2imf 615 0$aFinance$xEvaluation. 615 0$aInternational finance 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aMacroeconomics 615 7$aMoney and Monetary Policy 615 7$aIndustries: Financial Services 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aPersonal Income, Wealth, and Their Distributions 615 7$aFinancial Institutions and Services: Government Policy and Regulation 615 7$aFinancing Policy 615 7$aFinancial Risk and Risk Management 615 7$aCapital and Ownership Structure 615 7$aValue of Firms 615 7$aGoodwill 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aBanking 615 7$aFinance 615 7$aFinancial services law & regulation 615 7$aMonetary economics 615 7$aPersonal income 615 7$aStress testing 615 7$aCredit risk 615 7$aCredit 615 7$aNational accounts 615 7$aFinancial sector policy and analysis 615 7$aFinancial regulation and supervision 615 7$aMoney 615 7$aLoans 615 7$aFinancial institutions 615 7$aFinancial risk management 615 7$aBanks and banking 615 7$aIncome 676 $a332.1091724 712 02$aInternational Monetary Fund.$bMonetary and Capital Markets Department, 801 0$bDcWaIMF 906 $aBOOK 912 $a9910828427703321 996 $aCanada$9179841 997 $aUNINA