English, Article, Journal or magazine article edition: Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks Marcos Souto; Benjamin M. Tabak; Francisco Vazquez

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Bookmark: http://trove.nla.gov.au/version/104075
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks
Author
  • Marcos Souto
  • Benjamin M. Tabak
  • Francisco Vazquez
Physical Description
  • preprint
Notes
  • This study constructs a set of credit risk indicators for 39 Brazilian banks, using the Merton framework and balance sheet information on the banks’ total assets and liabilities. Despite the simplifying assumptions, the methodology captures well several stylized facts in the recent history of Brazil. In particular, it identifies deterioration in the credit risk indicators of the banking sector, following the crisis in the early 2000s. The risk indicators were regressed against a number of macro-financial variables at both individual and systemic level, showing that an increase in the system EDF, interest rates, and CDS spreads will lead to a deterioration of the individual expected default probability.
  • RePEc:bcb:wpaper:189
Language
  • English
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