G0 - General

• Procyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key Parameters

  Staff Discussion Paper 2023-34 Alper Odabasioglu

  Regulators need to provide effective procyclicality guidance, and central counterparties must design and calibrate their margin systems and procyclicality frameworks appropriately. To serve these needs, we provide a novel conceptual tool kit. Further, we highlight that the focus should be on the key margin system parameters in determining procyclicality.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Coronavirus disease (COVID-19), Credit risk management, Financial institutions, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): G, G0, G01, G2, G23, G28

• Understanding the Systemic Implications of Climate Transition Risk: Applying a Framework Using Canadian Financial System Data

  Staff Discussion Paper 2023-32 Gabriel Bruneau, Javier Ojea Ferreiro, Andrew Plummer, Marie-Christine Tremblay, Aidan Witts

  Our study aims to gain insight on financial stability and climate transition risk. We develop a methodological framework that captures the direct effects of a stressful climate transition shock as well as the indirect—or systemic—implications of these direct effects. We apply this framework using data from the Canadian financial system.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Climate change, Economic models, Financial institutions, Financial markets, Financial stability JEL Code(s): C, C6, C63, G, G0, G01, G1, G10, G2, G20, Q, Q5, Q54