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| 01992cam 2200361zi 4500 |
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001 | 9.916417 |
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003 | CaOODSP |
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005 | 20221107183433 |
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006 | m o d f |
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007 | cr |n||||||||| |
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008 | 221020t20222022oncd ob f|0| 0 eng d |
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040 | |aCaOODSP|beng|erda|cCaOODSP |
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043 | |an-cn--- |
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086 | 1 |aFB3-1/122-2022E-PDF |
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100 | 1 |aBruneau, Gabriel, |eauthor. |
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245 | 10|aForecasting banks’ corporate loan losses under stress : |bnew corporate default model / |cby Gabriel Bruneau, Thibaut Duprey and Ruben Hipp. |
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264 | 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2022. |
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264 | 4|c©2022 |
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300 | |a1 online resource (ii, 46 pages) : |bcharts. |
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336 | |atext|btxt|2rdacontent |
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337 | |acomputer|bc|2rdamedia |
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338 | |aonline resource|bcr|2rdacarrier |
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490 | 1 |aTechnical report = Rapport technique, |x1919-689X ; |v122 |
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500 | |a"Last updated: October 3, 2022." |
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504 | |aIncludes bibliographical references (pages 44-46). |
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520 | |a"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. |
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650 | 0|aBank loans|zCanada. |
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650 | 0|aBusiness losses|zCanada. |
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650 | 6|aPrêts bancaires|zCanada. |
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650 | 6|aPertes (Comptabilité)|zCanada. |
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710 | 2 |aBank of Canada, |eissuing body. |
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830 | #0|aTechnical report (Bank of Canada)|x1919-689X ; |v122.|w(CaOODSP)9.505019 |
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856 | 40|qPDF|s1.24 MB|uhttps://publications.gc.ca/collections/collection_2022/banque-bank-canada/FB3-1-122-2022-eng.pdf |
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