IMF-加拿大：金融部门评估计划系统风险分析技术说明（英）

© 2025 International Monetary Fund IMF Country Report No. 25/244 CANADA FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE ON SYSTEMIC RISK ANALYSIS This Technical Note on Systemic Risk Analysis was prepared by a staff team of the International Monetary Fund. It is based on the information available at the time it was completed on July 28, 2025. Copies of this report are available to the public from International Monetary Fund • Publication Services PO Box 92780 • Washington, D.C. 20090 Telephone: (202) 623-7430 • Fax: (202) 623-7201 E-mail: publications@imf.org Web: http://www.imf.org International Monetary Fund Washington, D.C. August 2025 CANADA FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTESYSTEMIC RISK ANALYSIS Prepared By Monetary and Capital Markets Department This Technical Note was prepared by IMF staff in the context of the Financial Sector Assessment Program in Country. It contains technical analysis and detailed information underpinning the FSAP’s findings and recommendations. Further information on the FSAP can be found at http://www.imf.org/external/np/fsap/fssa.aspx July 28, 2025 CANADA 2 INTERNATIONAL MONETARY FUND CONTENTS Glossary __________________________________________________________________________________________ 5 EXECUTIVE SUMMARY __________________________________________________________________________ 7 INTRODUCTION ________________________________________________________________________________ 11 A. Macroeconomic Landscape and Sectoral Vulnerabilities ______________________________________ 11 B. Financial Sector Structure _____________________________________________________________________ 14 MACROECONOMIC SCENARIOS _______________________________________________________________ 24 HOUSEHOLD ANALYSIS ________________________________________________________________________ 25 CORPORATE ANALYSIS ________________________________________________________________________ 34 BANK SOLVENCY STRESS TEST ________________________________________________________________ 42 A. Credit Risk______________________________________________________________________________________ 43 B. Interest Rate Risk______________________________________________________________________________ 45 C. Modelling of Other Profit and Loss Components _____________________________________________ 46 D. Market Risk Modelling Approach _____________________________________________________________ 48 E. Results__________________________________________________________________________________________ 49 F. Recommendations ____________________________________________________________________________ 53 BANK LIQUIDITY STRESS TESTS _______________________________________________________________ 54 A. Liquid Coverage Ratio–Based Test ____________________________________________________________ 55 B. Cash Flow Analysis ____________________________________________________________________________ 57 INTERCONNECTEDNESS AND CONTAGION ANALYSIS _______