Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests

Van Oordt, Maarten R. C.. (Added Author). Canadian Electronic Library (Firm) (distributor.).

Summary: 'This paper proposes a novel methodology to calibrate the magnitude of the cap on the countercyclical capital buffer (CCyB) using market-based stress tests. The macroprudential authority in our paper aims to contain the possibility of a breach of a minimum capital ratio in the event of a severe system-wide shock within a certain permissible failure probability'--Abstract, p. ii.

Record details

ISSN: 1701-9397
Physical Description: remote
1 online resource (47 pages).
Publisher: Ottawa, ON, CA: Bank of Canada, 2018.

Content descriptions

General Note:	Issued as part of the desLibris documents collection.
Restrictions on Access Note:	Access restricted to authorized users and institutions.
Type of Computer File or Data Note:	Electronic monograph in PDF format.
System Details Note:	Mode of access: World Wide Web.