Credit and credit aggregates, Financial institutions, Financial markets, Financial services, Financial stability, Financial system regulation and policies, International financial markets, Lender of last resort, , Monetary policy implementation, Payment clearing and settlement systems
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Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model
We present a new corporate default model, one of the building blocks of the Bank of Canada’s bank stress-testing infrastructure. The model is used to forecast corporate loan losses of the Canadian banking sector under stress.