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Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector

Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector by Marcos Souto
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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.
International Monetary Fund; May 2009
32 pages; ISBN 9781452750071
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Title: Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector
Author: Marcos Souto; Rodolphe Blavy
 
ISBNs
1451916868
9781451872569
9781451916867
9781452750071