Developing a Framework to Assess Financial Stability

7 – 8 November 2007

NOTE: The papers listed here are reproduced as submitted by their respective authors, and do not necessarily reflect the opinions or policies of the Bank of Canada. Papers submitted by persons not in the employ of the Bank of Canada may be subject to the copyright policies of the submitters' organizations and/or countries, and therefore should not be reproduced in whole or in part without the permission of the author(s). Papers are presented in the language of the authors only.

"A Framework for Assessing International Risk to the Financial System"
Philipp Maier, Graydon Paulin, and Eric Santor

"New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability"
Dale F. Gray
Discussion, Pierre Monnin

"Report of the Working Group on System Interdependencies"
Discussion , Charles Freedman

"Financial Stability, Monetarism and the Wicksell Connection" (The 2007 John Kuszczak Memorial Lecture) 
David Laidler

"Which Bank is the "Central" Bank?: An Application of Markov Theory to the Canadian Large Value Transfer System"
Morten Bech, James T.E. Chapmanz, and Rod Garratt

"Models of foreign exchange settlement and informational efficiency in liquidity risk management"
Jochen Schanz
Discussion, Alexandra Lai

"Analysis of Financial Stability"
C.A.E. Goodhart and D.P. Tsomocos
Discussion, Césaire Meh

"International Integration, Common Exposure and Systemic Risk in the Banking Sector: An Empirical Investigation"
Nicole Allenspach and Pierre Monnin
Discussion, Ramdane Djoudad

"Australia's Stress Testing Experience"
Chris Aylmer

"Bank of Canada's participation in the 2007 FSAP macro stress-testing exercise"
Don Coletti, René Lalonde, Miroslav Misina, Dirk Muir, Pierre St-Amant, and David Tessier

"Financial Sector Assessment Program Stress Testing – Denmark's Experience"
Jakob Windfeld Lund

"Stress Testing at Banque de France"
Olivier de Bandt

"The importance of non-linearities and macroeconomic uncertainty in stress testing"
Miroslav Misina and David Tessier

"Modelling the distribution of credit losses with observable and latent factors"
Gabriel Jiménez and Javier Mencìa
Discussion, Greg Tkacz

"An Option Pricing Approach to Stress-testing the Canadian Mortgage Portfolio"
Moez Souissi

"State-Dependent Contagion Risk: Using Micro Data from Swedish Banks"
Lars Frisell, Mia Holmfeldt, Ola Larsson, Malin Omberg, and Mattias Persson
Discussion, Céline Gauthier