This report provides a detailed technical description of a stress test model for investment funds called Ceto.
Technical reports provide detailed descriptions of staff research project methodologies and model development.
This technical report describes sampling, weighting and variance estimation for the Bank of Canada’s 2017 Methods-of-Payment Survey. Under quota sampling, a raking ratio method is implemented to generate weights with both post-stratification and nonparametric nonresponse weight adjustments.
Risk assessment models are an important component of the Bank’s analytical tool kit for assessing the resilience of the financial system. We describe the Framework for Risk Identification and Assessment (FRIDA), a suite of models developed at the Bank of Canada to quantify the impact of financial stability risks to the broader economy and a range of financial system participants (households, businesses and banks).
We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017.
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).
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Estimation of the Total Private Cost for Large BusinessesThe Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods faced low response rates and outliers in sample data for two of its retailer strata: chains and large independent businesses. This technical report investigates whether it is appropriate to combine these two strata to produce more accurate estimates of the total private cost to large businesses of the main payment methods.
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Calibration for Single-Location RetailersCalibrated weights are created to (a) reduce the nonresponse bias; (b) reduce the coverage error; and (c) make the weighted estimates from the sample consistent with the target population in terms of certain key variables.
In 2015, the Bank of Canada undertook the large-scale Retailer Survey on the Cost of Payment Methods.
Nonresponse is a considerable challenge in the Retailer Survey on the Cost of Payment Methods conducted by the Bank of Canada in 2015. There are two types of nonresponse in this survey: unit nonresponse, in which a business does not reply to the entire survey, and item nonresponse, in which a business does not respond to particular questions within the survey.
Household debt can be an important source of vulnerability to the financial system. This technical report describes the Household Risk Assessment Model (HRAM) that has been developed at the Bank of Canada to stress test household balance sheets at the individual level.