Forecasting banks’ corporate loan losses under stress : new corporate default model / by Gabriel Bruneau, Thibaut Duprey and Ruben Hipp.: FB3-1/122-2022E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.916417&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Forecasting banks’ corporate loan losses under stress : new corporate default model / by Gabriel Bruneau, Thibaut Duprey and Ruben Hipp. |
| Series title | Technical report = Rapport technique, 1919-689X ; 122 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "Last updated: October 3, 2022." Includes bibliographical references (pages 44-46). |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2022. ©2022 |
| Author / Contributor | Bruneau, Gabriel, author. |
| Description | 1 online resource (ii, 46 pages) : charts. |
| Catalogue number |
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| Subject terms | Bank loans -- Canada. Business losses -- Canada. Prêts bancaires -- Canada. Pertes (Comptabilité) -- Canada. |