摘要：Stress testing is an important tool for evaluating risks tothe financial system. The models used to conduct thesetests are evolving to include more realistic features. The 2007–09 financial crisis demonstrated that, inaddition to solvency risk, liquidity risk and spillovereffects can generate losses for banks during times ofstress. The Bank of Canada has developed an innovativestress-testing model—the MacroFinancial RiskAssessment Framework (MFRAF)—which captures thevarious sources of risk (solvency, liquidity and spillovereffects) that banks face. We apply MFRAF to the stress-testing scenario usedin the 2013 Canada Financial Sector AssessmentProgram led by the International Monetary Fund. Weshow that the aggregate capital position of Canadianbanks is 20 per cent lower when liquidity and spilloverrisks are added to solvency risk. Nevertheless, theresults still confirm the overall strength of the Canadianbanking system.
