Jose Fique

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Staff working papers

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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Technical reports

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).

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