Jose Fique

Senior Analyst

Jose Fique is a Senior Analyst in the Financial Stability Department. His main interests include banking theory, financial networks, systemic risk and the design of prudential policies. He received his PhD in Economics from Indiana University.

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Jose Fique

Senior Analyst
Financial Stability
Model Development and Research

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

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The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0

Technical Report No. 111 Jose Fique
This report provides a detailed technical description of the updated MacroFinancial Risk Assessment Framework (MFRAF), which replaces the version described in Gauthier, Souissi and Liu (2014) as the Bank of Canada’s stress-testing model for banks with a focus on domestic systemically important banks (D-SIBs).
Content Type(s): Technical Reports Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28

Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data

Staff Working Paper 2017-30 Jose Fique
In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions, Financial stability JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21

A Microfounded Design of Interconnectedness-Based Macroprudential Policy

Staff Working Paper 2016-6 Jose Fique
To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an “additional loss absorbency requirement” for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk.

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Education

  • PhD in Economics, Indiana University
  • MA in Economics, Indiana University
  • BA in Economics, Universidade do Porto

Research Interests

  • Banking theory
  • Systemic risk
  • Financial networks
  • Macroprudential policy

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