C72 - Noncooperative Games
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Interbank Asset-Liability Networks with Fire Sale Management
Raising liquidity when funding is stressed creates pressure on the financial market. Liquidating large quantities of assets depresses their prices and may amplify funding shocks. How do banks weathering a funding crisis contribute to contagion risk? -
Monetary Payoff and Utility Function in Adaptive Learning Models
When players repeatedly face an identical or similar game (e.g., coordination game, technology adoption game, or product choice game), they may learn through experience to perform better in the future. This learning behaviour has important economic implications. -
An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms
Liquidity demands in real-time gross settlement payment systems can be enormous. To reduce the liquidity requirement, central banks around the world have implemented liquidity savings mechanisms (LSMs). -
The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0
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). -
Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.