Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne
AbstractDefault 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. Knowledge of such data is required to assess the impact of shocks on the balance sheets of financial institutions and to conduct stress-testing exercises of the banking system. The authors discuss the methodology used to construct historical series of firm default rates for selected sectors of the Canadian economy, as well as the models applied to predict default rates. Their findings confirm the existence of a non-linear relationship between the gross domestic product, the unemployment rate and default rates.
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Bibliographic InfoPaper provided by Bank of Canada in its series Discussion Papers with number 13-2.
Length: 21 pages
Date of creation: 2013
Date of revision:
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Econometric and statistical methods; Financial Institutions; Financial stability;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-23 (All new papers)
- NEP-BAN-2013-03-23 (Banking)
- NEP-HIS-2013-03-23 (Business, Economic & Financial History)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Emery, Kenneth M. & Cantor, Richard, 2005. "Relative default rates on corporate loans and bonds," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1575-1584, June.
- Baldwin, John & Picot, Garnett, 1995.
" Employment Generation by Small Producers in the Canadian Manufacturing Sector,"
Small Business Economics,
Springer, vol. 7(4), pages 317-31, August.
- Baldwin, John R. Picot, Garnett, 1994. "Employment Generation by Small Producers in the Canadian Manufacturing Sector," Analytical Studies Branch Research Paper Series 1994070e, Statistics Canada, Analytical Studies Branch.
- Miroslav Misina & David Tessier & Shubhasis Dey, 2006. "Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector," Working Papers 06-47, Bank of Canada.
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