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.

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