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.