Credit and credit aggregates, Lender of last resort, Monetary and financial indicators, Financial institutions, Financial markets, International financial markets, Monetary policy implementation, Financial system regulation and policies, Financial services, Financial stability, Market structure and pricing, Payment clearing and settlement systems
-
-
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.