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

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  • Ramdane Djoudad
  • Étienne Bordeleau

Abstract

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. 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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File URL: http://www.bankofcanada.ca/wp-content/uploads/2013/03/dp2013-02.pdf
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Bibliographic Info

Paper provided by Bank of Canada in its series Discussion Papers with number 13-2.

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Length: 21 pages
Date of creation: 2013
Date of revision:
Handle: RePEc:bca:bocadp:13-2

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Keywords: Econometric and statistical methods; Financial Institutions; Financial stability;

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  1. Picot, Garnett & Baldwin, John R., 1994. "Employment Generation by Small Producers in the Canadian Manufacturing Sector," Analytical Studies Branch Research Paper Series 1994070e, Statistics Canada, Analytical Studies Branch.
  2. 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.
  3. 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.
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