Credit risk forecasts should provide information both about losses in a baseline scenario ("expected losses") and about the potential for extreme outcomes ("unexpected losses").
Policy support measures have kept debt service costs low during the pandemic, thus underpinning benign baseline forecasts of corporate credit losses up to 2024.
High indebtedness, built up when the pandemic impaired real activity, suggests increased tail risks: plausible deviations from the baseline scenario feature ballooning corporate insolvencies.
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