Understanding Systemic Risks in the Canadian Financial System
This paper reviews recent efforts to monitor and assess systemic risk in the Canadian financial system and outlines a framework for future system-wide stress testing.
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4
result(s)
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
JEL Code(s):
C,
C6,
C63,
G,
G0,
G01,
G1,
G10,
G2,
G20,
Q,
Q5,
Q54
Research Theme(s):
Financial system,
Financial stability and systemic risk,
Models and tools,
Economic models,
Structural challenges,
Climate change
Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model
Technical report No. 122
Gabriel Bruneau,
Thibaut Duprey,
Ruben Hipp
We present a new corporate default model, one of the building blocks of the Bank of Canada’s bank stress-testing infrastructure. The model is used to forecast corporate loan losses of the Canadian banking sector under stress.
Content Type(s):
Staff research,
Technical reports
JEL Code(s):
C,
C2,
C22,
C5,
C52,
C53,
G,
G1,
G17,
G2,
G21,
G28
Research Theme(s):
Financial system,
Financial stability and systemic risk,
Household and business credit,
Models and tools,
Economic models
Housing Market Dynamics and Macroprudential Policy
Staff working paper 2016-31
Gabriel Bruneau,
Ian Christensen,
Césaire Meh
We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.
Content Type(s):
Staff research,
Staff working papers
JEL Code(s):
E,
E3,
E31,
E4,
E42,
H,
H2,
H23
Research Theme(s):
Financial system,
Financial stability and systemic risk,
Household and business credit,
Models and tools,
Economic models,
Monetary policy,
Monetary policy framework and transmission