000	01992cam  2200361zi 4500
001	9.916417
003	CaOODSP
005	20221107183433
006	m     o  d f
007	cr |n|||||||||
008	221020t20222022oncd    ob   f|0| 0 eng d
040	|aCaOODSP|beng|erda|cCaOODSP
043	|an-cn---
086	1 |aFB3-1/122-2022E-PDF
100	1 |aBruneau, Gabriel, |eauthor.
245	10|aForecasting banks’ corporate loan losses under stress : |bnew corporate default model / |cby Gabriel Bruneau, Thibaut Duprey and Ruben Hipp.
264	1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2022.
264	4|c©2022
300	|a1 online resource (ii, 46 pages) : |bcharts.
336	|atext|btxt|2rdacontent
337	|acomputer|bc|2rdamedia
338	|aonline resource|bcr|2rdacarrier
490	1 |aTechnical report = Rapport technique, |x1919-689X ; |v122
500	|a"Last updated: October 3, 2022."
504	|aIncludes bibliographical references (pages 44-46).
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.
650	0|aBank loans|zCanada.
650	0|aBusiness losses|zCanada.
650	6|aPrêts bancaires|zCanada.
650	6|aPertes (Comptabilité)|zCanada.
710	2 |aBank of Canada, |eissuing body.
830	#0|aTechnical report (Bank of Canada)|x1919-689X ; |v122.|w(CaOODSP)9.505019
856	40|qPDF|s1.24 MB|uhttps://publications.gc.ca/collections/collection_2022/banque-bank-canada/FB3-1-122-2022-eng.pdf