The Resource Estimating default frequencies and macrofinancial linkages in the Mexican banking sector, prepared by Rodolphe Blavy and Marcos Souto
Estimating default frequencies and macrofinancial linkages in the Mexican banking sector, prepared by Rodolphe Blavy and Marcos Souto
Resource Information
The item Estimating default frequencies and macrofinancial linkages in the Mexican banking sector, prepared by Rodolphe Blavy and Marcos Souto represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Estimating default frequencies and macrofinancial linkages in the Mexican banking sector, prepared by Rodolphe Blavy and Marcos Souto represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.
This item is available to borrow from 1 library branch.
- Summary
- The credit risk measures we develop in this paper are used to investigate macrofinancial linkages in the Mexican banking system. Domestic and external macro-financial variables are found to be closely associated with banking soundness. At the aggregate level, high external volatility and domestic interest rates are associated with higher expected default probability. Though results vary substantially across individual banks, domestic activity and U.S. growth, and higher asset prices, are generally associated with lower credit risks, while increased volatility worsens credit risks. The expected default probability is also found to be a leading indicator of traditional financial stability indicators
- Language
- eng
- Extent
- 1 online resource (32 pages)
- Contents
-
- I. Introduction; II. The Merton Framework Using Book Value Data; Figures; 1. Distribution of Asset Value; III. Background: A Few Stylized Facts About the Mexican Banking System; IV. Estimating Credit Risk Indicators for the Mexican Banking Sector; A. Data and Methodological Assumptions; B. Credit Risk Indicators; C. Book-Value Credit Risk Indicators and Other Measures of Banking Risk; 2. Correlation Between EDF and NPL; Tables; 1. Granger Tests for the Aggregated Banking System; 3a. Distribution of EDF (LCU); 3b. Distribution of NPL (in % of TA); V. Assessing Macrofinancial Linkages
- 2. Stepwise Regression for the Aggregated Banking SystemPanel A: Using estimated EDF as the dependent variable and NPL as one of the possible covariates.; Panel B: When NPL is not one of the possible covariates; 3. Determinants of Individual Banks' EDFs: Results of Stepwise Regressions; VI. Summary and Conclusion; 4. Panel Regression Results; 4. Banking Risk Indicators, December 1998-June 2008; 5. Large Banks: Banking Risk Indicators, December 1998-June 2008; 6. Small- and Medium-Size Banks: Banking Risk Indicators, December 2002-June 2008
- 7. Small Subsidies of Foreign Banks: Banking Risk Indicators, December 1998-June 20088. BACC: Banking Risk Indicators, December 1998-June 2008; 9. Bank 1: Banking Risk Indicators, December 1998-June 2008; 10. Bank 2: Banking Risk Indicators, December 1998-June 2008; 11. Bank 3: Banking Risk Indicators, December 1998-June 2008; 12. Bank 4: Banking Risk Indicators, December 1998-June 2008; 13. Bank 5: Banking Risk Indicators, December 1998-June 2008; References; Appendix
- Label
- Estimating default frequencies and macrofinancial linkages in the Mexican banking sector
- Title
- Estimating default frequencies and macrofinancial linkages in the Mexican banking sector
- Statement of responsibility
- prepared by Rodolphe Blavy and Marcos Souto
- Language
- eng
- Summary
- The credit risk measures we develop in this paper are used to investigate macrofinancial linkages in the Mexican banking system. Domestic and external macro-financial variables are found to be closely associated with banking soundness. At the aggregate level, high external volatility and domestic interest rates are associated with higher expected default probability. Though results vary substantially across individual banks, domestic activity and U.S. growth, and higher asset prices, are generally associated with lower credit risks, while increased volatility worsens credit risks. The expected default probability is also found to be a leading indicator of traditional financial stability indicators
- Cataloging source
- CUS
- http://bibfra.me/vocab/lite/collectionName
- IMF eLibrary
- http://library.link/vocab/creatorName
- Blavy, Rodolphe
- Government publication
- international or intergovernmental publication
- Illustrations
- illustrations
- Index
- no index present
- LC call number
- HG3810 ONLINE
- Literary form
- non fiction
- Nature of contents
-
- dictionaries
- bibliography
- http://library.link/vocab/relatedWorkOrContributorName
-
- Souto, Marcos Rietti
- International Monetary Fund
- Series statement
- IMF Working Paper
- Series volume
- WP/09/109
- http://library.link/vocab/subjectName
-
- Credit analysis
- Banks and banking
- Risk
- Banks and banking
- Credit analysis
- Risk
- Mexico
- Label
- Estimating default frequencies and macrofinancial linkages in the Mexican banking sector, prepared by Rodolphe Blavy and Marcos Souto
- Bibliography note
- Includes bibliographical references (page 30)
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
-
- I. Introduction; II. The Merton Framework Using Book Value Data; Figures; 1. Distribution of Asset Value; III. Background: A Few Stylized Facts About the Mexican Banking System; IV. Estimating Credit Risk Indicators for the Mexican Banking Sector; A. Data and Methodological Assumptions; B. Credit Risk Indicators; C. Book-Value Credit Risk Indicators and Other Measures of Banking Risk; 2. Correlation Between EDF and NPL; Tables; 1. Granger Tests for the Aggregated Banking System; 3a. Distribution of EDF (LCU); 3b. Distribution of NPL (in % of TA); V. Assessing Macrofinancial Linkages
- 2. Stepwise Regression for the Aggregated Banking SystemPanel A: Using estimated EDF as the dependent variable and NPL as one of the possible covariates.; Panel B: When NPL is not one of the possible covariates; 3. Determinants of Individual Banks' EDFs: Results of Stepwise Regressions; VI. Summary and Conclusion; 4. Panel Regression Results; 4. Banking Risk Indicators, December 1998-June 2008; 5. Large Banks: Banking Risk Indicators, December 1998-June 2008; 6. Small- and Medium-Size Banks: Banking Risk Indicators, December 2002-June 2008
- 7. Small Subsidies of Foreign Banks: Banking Risk Indicators, December 1998-June 20088. BACC: Banking Risk Indicators, December 1998-June 2008; 9. Bank 1: Banking Risk Indicators, December 1998-June 2008; 10. Bank 2: Banking Risk Indicators, December 1998-June 2008; 11. Bank 3: Banking Risk Indicators, December 1998-June 2008; 12. Bank 4: Banking Risk Indicators, December 1998-June 2008; 13. Bank 5: Banking Risk Indicators, December 1998-June 2008; References; Appendix
- Control code
- 645488693
- Dimensions
- unknown
- Extent
- 1 online resource (32 pages)
- Form of item
- online
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other physical details
- illustrations
- Sound
- unknown sound
- Specific material designation
- remote
- System control number
- (OCoLC)645488693
- Label
- Estimating default frequencies and macrofinancial linkages in the Mexican banking sector, prepared by Rodolphe Blavy and Marcos Souto
- Bibliography note
- Includes bibliographical references (page 30)
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
-
- I. Introduction; II. The Merton Framework Using Book Value Data; Figures; 1. Distribution of Asset Value; III. Background: A Few Stylized Facts About the Mexican Banking System; IV. Estimating Credit Risk Indicators for the Mexican Banking Sector; A. Data and Methodological Assumptions; B. Credit Risk Indicators; C. Book-Value Credit Risk Indicators and Other Measures of Banking Risk; 2. Correlation Between EDF and NPL; Tables; 1. Granger Tests for the Aggregated Banking System; 3a. Distribution of EDF (LCU); 3b. Distribution of NPL (in % of TA); V. Assessing Macrofinancial Linkages
- 2. Stepwise Regression for the Aggregated Banking SystemPanel A: Using estimated EDF as the dependent variable and NPL as one of the possible covariates.; Panel B: When NPL is not one of the possible covariates; 3. Determinants of Individual Banks' EDFs: Results of Stepwise Regressions; VI. Summary and Conclusion; 4. Panel Regression Results; 4. Banking Risk Indicators, December 1998-June 2008; 5. Large Banks: Banking Risk Indicators, December 1998-June 2008; 6. Small- and Medium-Size Banks: Banking Risk Indicators, December 2002-June 2008
- 7. Small Subsidies of Foreign Banks: Banking Risk Indicators, December 1998-June 20088. BACC: Banking Risk Indicators, December 1998-June 2008; 9. Bank 1: Banking Risk Indicators, December 1998-June 2008; 10. Bank 2: Banking Risk Indicators, December 1998-June 2008; 11. Bank 3: Banking Risk Indicators, December 1998-June 2008; 12. Bank 4: Banking Risk Indicators, December 1998-June 2008; 13. Bank 5: Banking Risk Indicators, December 1998-June 2008; References; Appendix
- Control code
- 645488693
- Dimensions
- unknown
- Extent
- 1 online resource (32 pages)
- Form of item
- online
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other physical details
- illustrations
- Sound
- unknown sound
- Specific material designation
- remote
- System control number
- (OCoLC)645488693
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.sandiego.edu/portal/Estimating-default-frequencies-and-macrofinancial/ZfkB55gNsew/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.sandiego.edu/portal/Estimating-default-frequencies-and-macrofinancial/ZfkB55gNsew/">Estimating default frequencies and macrofinancial linkages in the Mexican banking sector, prepared by Rodolphe Blavy and Marcos Souto</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.sandiego.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.sandiego.edu/">University of San Diego Libraries</a></span></span></span></span></div>
