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

Ramdane Djoudad and Étienne Bordeleau

Discussion Papers from Bank of Canada

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.

Keywords: Econometric and statistical methods; Financial Institutions; Financial stability (search for similar items in EconPapers)
JEL-codes: C13 C18 G21 G33 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2013
New Economics Papers: this item is included in nep-ban and nep-his
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocadp:13-2

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