Ramdane Djoudad

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Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne

Staff Discussion Paper 2013-2 Ramdane Djoudad, Étienne Bordeleau
Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.

A Framework to Assess Vulnerabilities Arising from Household Indebtedness Using Microdata

Staff Discussion Paper 2012-3 Ramdane Djoudad
Rising levels of household indebtedness have created concerns about the vulnerabilities of households to adverse economic shocks and the impact on financial stability. To assess these risks, the author presents a formal stress-testing framework that uses microdata to simulate how various economic shocks affect the distribution of the debt-service ratio (DSR) for the household sector.

Simulations du ratio du service de la dette des consommateurs en utilisant des données micro

Staff Working Paper 2009-18 Ramdane Djoudad
The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey.
June 17, 2008

A Tool for Assessing Financial Vulnerabilities in the Household Sector

In this article, the authors build on the framework used in the Bank of Canada's Financial System Review to assess the evolution of household indebtedness and financial vulnerabilities in response to changing economic conditions. To achieve this, they first compare two microdata sets generated by Ipsos Reid's Canadian Financial Monitor and Statistics Canada's Survey of Financial Security. They find that the surveys are broadly comparable, despite methodological differences. This enables them to use the combined information content for the identification of the threshold value of the debt-service ratio (DSR). The article then presents an innovative framework that uses household-level microdata to simulate changes in the distribution of the DSR under various stress scenarios. The authors show how this framework can be used by analyzing the effects of two different scenarios on the distribution of the debt-service ratio and the impact on vulnerable households. This tool will enable researchers to refine their analyses of current risks to the financial health of Canadian households. The article concludes with comments on future directions for refining the Bank's analyses of household sector risk.

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