00000nam 2200000zi 4500 9.916417 CaOODSP 20221107183433 m o d f cr |n||||||||| 221020t20222022oncd ob f|0| 0 eng d CaOODSP eng rda CaOODSP n-cn--- FB3-1/122-2022E-PDF Bruneau, Gabriel, author. Forecasting banks’ corporate loan losses under stress : new corporate default model / by Gabriel Bruneau, Thibaut Duprey and Ruben Hipp. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2022. ©2022 1 online resource (ii, 46 pages) : charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Technical report = Rapport technique, 1919-689X ; 122 "Last updated: October 3, 2022." Includes bibliographical references (pages 44-46). "We develop a corporate default model to forecast corporate loan losses of the Canadian banking sector under stress. First, we tackle a data gap by reconstructing historical default probabilities for banks’ loan portfolios. Second, we estimate tail elasticities to capture nonlinear relationships between macrofinancial conditions and default probabilities. By explicitly modelling default probabilities associated with macroeconomic tail events, this model significantly improves the Bank of Canada’s stress-testing infrastructure"--Abstract. Bank loans Canada. Business losses Canada. Prêts bancaires Canada. Pertes (Comptabilité) Canada. Bank of Canada, issuing body. Technical report (Bank of Canada) 1919-689X ; 122. (CaOODSP)9.505019 PDF 1.24 MB https://publications.gc.ca/collections/collection_2022/banque-bank-canada/FB3-1-122-2022-eng.pdf