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

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
Creator
Contributor
Author
Subject
Genre
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
Member of
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
Instantiates
Publication
Copyright
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
Publication
Copyright
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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