bank runs, potentially unleashing a wave of investor pessimism that can drive otherwise solvent banks into illiquidity. We … quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress …-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the …

We propose an improved methodology for modelling potential scenario paths of banks' riskweighted assets, which drive … the denominator of capital adequacy ratios. Our approach centres on modelling the internal risk structure of bank … portfolios and thus aims to provide more accurate estimations than the common portfolio level approaches used in top-down stress …