G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages

• Optimal Margining and Margin Relief in Centrally Cleared Derivatives Markets

  Staff Working Paper 2014-29 Radoslav Raykov

  A major policy challenge posed by derivatives clearinghouses is that their collateral requirements can rise sharply in times of stress, reducing market liquidity and further exacerbating downturns.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Payment clearing and settlement systems JEL Code(s): G, G1, G19, G2, G21

• Filling in the Blanks: Network Structure and Interbank Contagion

  Staff Working Paper 2014-26 Kartik Anand, Ben Craig, Goetz von Peter

  The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21, L, L1, L14
• June 12, 2014

  Stress Testing the Canadian Banking System: A System-Wide Approach

  Financial System Review - June 2014 Kartik Anand, Guillaume Bédard-Pagé, Virginie Traclet

  Stress testing is an important tool used by financial authorities and entities around the world to evaluate potential risks to the financial system. Kartik Anand, Guillaume Bédard-Pagé and Virginie Traclet discuss different stress-testing approaches, with emphasis on the innovative and analytically rigorous model developed by the Bank of Canada: the MacroFinancial Risk Assessment Framework (MFRAF). They also present the stress-test results obtained in the context of the 2013 Canada Financial Sector Assessment Program led by the International Monetary Fund, including the important contributions made by the use of MFRAF in the exercise.

  Content Type(s): Publications, Financial System Review articles Topic(s): Financial institutions, Financial stability JEL Code(s): C, C6, C63, G, G0, G01, G2, G21