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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.916417&sl=1
| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | Forecasting banks’ corporate loan losses under stress : new corporate default model / by Gabriel Bruneau, Thibaut Duprey and Ruben Hipp. |
| Titre de la série | Technical report = Rapport technique, 1919-689X ; 122 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "Last updated: October 3, 2022." Includes bibliographical references (pages 44-46). |
| Information sur la publication | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2022. ©2022 |
| Auteur / Contributeur | Bruneau, Gabriel, author. |
| Description | 1 online resource (ii, 46 pages) : charts. |
| Numéro de catalogue |
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| Descripteurs | Bank loans -- Canada. Business losses -- Canada. Prêts bancaires -- Canada. Pertes (Comptabilité) -- Canada. |