Content Types


JEL Codes





Published After

Published Before

5 Results

Interbank Asset-Liability Networks with Fire Sale Management

Staff Working Paper 2020-41 Zachary Feinstein, Grzegorz Halaj
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

Staff Working Paper 2019-50 Erhao Xie
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.

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).

Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach

Staff Working Paper 2015-32 Kartik Anand, Céline Gauthier, Moez Souissi
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.