Stress testing the Canadian banking System: a System-wide approach
Bibliographic record
Abstract
Stress testing is an important tool for evaluating risks to the financial system. The models used to conduct these tests are evolving to include more realistic features. The 2007–09 financial crisis demonstrated that, in addition to solvency risk, liquidity risk and spillover effects can generate losses for banks during times of stress. The Bank of Canada has developed an inno-vative stress-testing model—the MacroFinancial Risk Assessment Framework (MFRAF)—which captures the various sources of risk (solvency, liquidity and spillover effects) that banks face. We apply MFRAF to the stress-testing scenario used in the 2013 Canada Financial Sector Assessment Program led by the International Monetary Fund. We show that the aggregate capital position of Canadian banks is 20 per cent lower when liquidity and spillover risks are added to solvency risk. Nevertheless, the results still confirm the overall strength of the Canadian banking system.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.003 | 0.009 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.004 | 0.005 |
| Science and technology studies | 0.002 | 0.002 |
| Scholarly communication | 0.004 | 0.001 |
| Open science | 0.002 | 0.002 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.003 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".