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Ricardo Schechtman

Personal Details

First Name:Ricardo
Middle Name:
Last Name:Schechtman
Suffix:
RePEc Short-ID:psc247
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Affiliation

Banco Central do Brasil

Brasília, Brazil
http://www.bcb.gov.br/
RePEc:edi:bcbgvbr (more details at EDIRC)

Research output

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Jump to: Working papers Articles Books

Working papers

  1. Ricardo Schechtman & Tony Takeda, 2018. "Capital (and Earnings) Incentives for Loan Loss Provisions in Brazil: evidence from a crisis-buffering regulatory intervention," Working Papers Series 477, Central Bank of Brazil, Research Department.
  2. Bruno Martins & Ricardo Schechtman, 2013. "Loan Pricing Following a Macro Prudential Within-Sector Capital Measure," Working Papers Series 323, Central Bank of Brazil, Research Department.
  3. Bruno Martins & Ricardo Schechtman, 2013. "Too Rich to Let Me Fail?," Documentos de Investigación - Research Papers 13, CEMLA.
  4. Ricardo Schechtman & Wagner Piazza Gaglianone, 2011. "Macro Stress Testing of Credit Risk Focused on the Tails," Working Papers Series 241, Central Bank of Brazil, Research Department.
  5. Ricardo Schechtman, 2009. "From Default Rates to Default Matrices: a complete measurement of Brazilian banks' consumer credit delinquency," Working Papers Series 195, Central Bank of Brazil, Research Department.
  6. Ricardo Schechtman, 2007. "Joint Validation of Credit Rating PDs under Default Correlation," Working Papers Series 149, Central Bank of Brazil, Research Department.
  7. Ricardo Schechtman, 2006. "Uma Investigação Baseada em Reamostragem sobre Requerimentos de Capital para Risco de Crédito no Brasil," Working Papers Series 127, Central Bank of Brazil, Research Department.
  8. Ricardo Schechtman, 2006. "A Central de Risco de Crédito no Brasil: uma análise de utilidade de informação," Working Papers Series 119, Central Bank of Brazil, Research Department.
  9. Ricardo Schechtman & Valéria Salomão Garcia & Sergio Mikio Koyama & Guilherme Cronemberger Parente, 2004. "Credit Risk Measurement and the Regulation of Bank Capital and Provision Requirements in Brazil - A Corporate Analysis," Working Papers Series 91, Central Bank of Brazil, Research Department.

Articles

  1. Ricardo Schechtman, 2017. "Joint Validation of Credit Rating PDs under Default Correlation," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 235-282, June.
  2. Schechtman, Ricardo, 2013. "Default matrices: A complete measurement of banks’ consumer credit delinquency," Journal of Financial Stability, Elsevier, vol. 9(4), pages 460-474.
  3. Schechtman, Ricardo & Gaglianone, Wagner Piazza, 2012. "Macro stress testing of credit risk focused on the tails," Journal of Financial Stability, Elsevier, vol. 8(3), pages 174-192.

Books


    RePEc:cml:prodgz:prg2013 is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Bruno Martins & Ricardo Schechtman, 2013. "Loan Pricing Following a Macro Prudential Within-Sector Capital Measure," Working Papers Series 323, Central Bank of Brazil, Research Department.

    Cited by:

    1. João Barata R. B. Barroso & Rodrigo Barbone Gonzalez & Bernardus F. Nazar Van Doornik, 2017. "Credit Supply Responses to Reserve Requirement: loan-level evidence from macroprudential policy," Working Papers Series 467, Central Bank of Brazil, Research Department.
    2. de Araujo, Douglas Kiarelly Godoy & Barroso, Joao Barata Ribeiro Blanco & Gonzalez, Rodrigo Barbone, 2020. "Loan-to-value policy and housing finance: Effects on constrained borrowers," Journal of Financial Intermediation, Elsevier, vol. 42(C).
    3. Horacio A Aguirre & Gastón Repetto, 2017. "Capital and currency-based macroprudential policies: an evaluation using credit registry data," BIS Working Papers 672, Bank for International Settlements.
    4. Douglas Kiarelly Godoy de Araujo & João Barata Ribeiro Blanco Barroso & Rodrigo Barbone Gonzalez, 2016. "Loan-To-Value Policy and Housing Loans: effects on constrained borrowers," Working Papers Series 445, Central Bank of Brazil, Research Department.
    5. Esteban Gómez & Angélica Lizarazo & Juan Carlos Mendoza & Andrés Murcia, 2017. "Evaluating the Impact of Macroprudential Policies in Colombia's Credit Growth," Borradores de Economia 980, Banco de la Republica de Colombia.
    6. Ms. Juliana Dutra Araujo & Manasa Patnam & Ms. Adina Popescu & Mr. Fabian Valencia & Weijia Yao, 2020. "Effects of Macroprudential Policy: Evidence from Over 6,000 Estimates," IMF Working Papers 2020/067, International Monetary Fund.
    7. Tarsila S. Afanasieff & Fabiana L. C. A. Carvalho & Eduardo C. de Ca, 2015. "Implementing Loan-to-Value Ratios: The Case of Auto Loans in Brazil (2010-11)," Working Papers Series 380, Central Bank of Brazil, Research Department.
    8. Ferrari, Stijn & Pirovano, Mara & Rovira Kaltwasser, Pablo, 2017. "The impact of sectoral macroprudential capital requirements on mortgage lending: evidence from the Belgian risk weight add-on," MPRA Paper 80821, University Library of Munich, Germany.
    9. Stijn Ferrari & Mara Pirovano & Pablo Rovira Kaltwasser, 2016. "The impact of sectoral macroprudential capital requirements on mortgage loan pricing: Evidence from the Belgian risk weight add-on," Working Paper Research 306, National Bank of Belgium.
    10. Rodrigo Barbone Gonzalez & Joaquim Lima & Leonardo Marinho, 2015. "Countercyclical Capital Buffers: bayesian estimates and alternatives focusing on credit growth," Working Papers Series 384, Central Bank of Brazil, Research Department.
    11. Machado, Vicente da Gama & Portugal, Marcelo Savino, 2014. "Measuring inflation persistence in Brazil using a multivariate model," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(2), June.
    12. Gonzalez, Rodrigo Barbone & Marinho, Leonardo Sousa Gomes & Lima, Joaquim Ignacio Alves de Vasconcellos e, 2017. "Re-anchoring countercyclical capital buffers: Bayesian estimates and alternatives focusing on credit growth," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1007-1024.
    13. Gómez, Esteban & Murcia, Andrés & Lizarazo, Angélica & Mendoza, Juan Carlos, 2020. "Evaluating the impact of macroprudential policies on credit growth in Colombia," Journal of Financial Intermediation, Elsevier, vol. 42(C).
    14. Fabia A. de Carvalho & Marcos R. de Castro, 2015. "Macroprudential and Monetary Policy Interaction: a Brazilian perspective," Working Papers Series 405, Central Bank of Brazil, Research Department.

  2. Ricardo Schechtman & Wagner Piazza Gaglianone, 2011. "Macro Stress Testing of Credit Risk Focused on the Tails," Working Papers Series 241, Central Bank of Brazil, Research Department.

    Cited by:

    1. Benjamin M. Tabak & M. Takami & J. M. C. Rocha & Daniel O. Cajueiro, 2011. "Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks," Working Papers Series 249, Central Bank of Brazil, Research Department.
    2. Ruja, Catalin, 2014. "Macro Stress-Testing Credit Risk in Romanian Banking System," MPRA Paper 58244, University Library of Munich, Germany.
    3. Miguel Ángel Morales Mosquera & Wilmar Cabrera & Laura Capera & Dairo Estrada, 2012. "Un Mapa de Riesgo de Crédito para el Sistema Financiero Colombiano," Temas de Estabilidad Financiera 068, Banco de la Republica de Colombia.
    4. Moreno, Ramón, 2011. "La formulación de políticas desde una perspectiva macroprudencial en economías emergentes," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 21-40.
    5. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
    6. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2013. "Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(6), pages 505-536, December.
    7. Buncic, Daniel & Melecky, Martin, 2013. "Macroprudential stress testing of credit risk: A practical approach for policy makers," Journal of Financial Stability, Elsevier, vol. 9(3), pages 347-370.
    8. Aline B. Schuh & Pascoal José Marion Filho & Daniel Arruda Coronel, 2019. "Determinants of the Default Rate of Individual Clients in Brazil and the Role of Payroll Loans," Economics Bulletin, AccessEcon, vol. 39(1), pages 395-408.
    9. Abildgren, Kim, 2014. "Far out in the tails – The historical distributions of macro-financial risk factors in Denmark," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2014(1), pages 1-31.
    10. Francisco Covas & Ben Rump & Egon Zakrajšek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
    11. Kanas, Angelos & Molyneux, Philip, 2018. "Macro stress testing the U.S. banking system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 54(C), pages 204-227.
    12. Grundke, Peter & Pliszka, Kamil & Tuchscherer, Michael, 2019. "Model and estimation risk in credit risk stress tests," Discussion Papers 09/2019, Deutsche Bundesbank.
    13. Pliszka, Kamil, 2021. "System-wide and banks' internal stress tests: Regulatory requirements and literature review," Discussion Papers 19/2021, Deutsche Bundesbank.
    14. Wang, Zheqi & Crook, Jonathan & Andreeva, Galina, 2020. "Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default," European Journal of Operational Research, Elsevier, vol. 287(2), pages 725-738.
    15. Wong, Alfred Y-T. & Fong, Tom Pak Wing, 2011. "Analysing interconnectivity among economies," Emerging Markets Review, Elsevier, vol. 12(4), pages 432-442.
    16. Reserve Bank of India RBI, 2012. "Financial Stability Report Issue No. 5," Working Papers id:5123, eSocialSciences.
    17. Siemsen, Thomas & Vilsmeier, Johannes, 2018. "On a quest for robustness: About model risk, randomness and discretion in credit risk stress tests," Discussion Papers 31/2018, Deutsche Bundesbank.
    18. Luiz Awazu Pereira da Silva & Ricardo Eyer Harris, 2012. "Financial Stability in Brazil," Working Papers Series 289, Central Bank of Brazil, Research Department.
    19. Saidane, Dhafer & Sène, Babacar & Désiré Kanga, Kouamé, 2021. "Pan-African banks, banking interconnectivity: A new systemic risk measure in the WAEMU," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    20. Matthias Fischer & Daniel Kraus & Marius Pfeuffer & Claudia Czado, 2017. "Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression," Risks, MDPI, vol. 5(3), pages 1-13, July.
    21. Mamatzakis, E & Koutsomanoli-Filippaki, Anastasia & Pasiouras, Fotios, 2012. "A quantile regression approach to bank efficiency measurement," MPRA Paper 51879, University Library of Munich, Germany.

  3. Ricardo Schechtman, 2006. "Uma Investigação Baseada em Reamostragem sobre Requerimentos de Capital para Risco de Crédito no Brasil," Working Papers Series 127, Central Bank of Brazil, Research Department.

    Cited by:

    1. Ricardo Schechtman, 2007. "Joint Validation of Credit Rating PDs under Default Correlation," Working Papers Series 149, Central Bank of Brazil, Research Department.
    2. Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2008. "Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 199-223.
    3. Solange Gouvea, 2007. "Price Rigidity in Brazil: Evidence from CPI Micro Data," Working Papers Series 143, Central Bank of Brazil, Research Department.
    4. Marcelo Y. Takami & Benjamin M. Tabak, 2007. "Evaluation of Default Risk for The Brazilian Banking Sector," Working Papers Series 135, Central Bank of Brazil, Research Department.
    5. Gilneu F. A. Vivan & Benjamin M. Tabak, 2007. "A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives," Working Papers Series 133, Central Bank of Brazil, Research Department.

  4. Ricardo Schechtman, 2006. "A Central de Risco de Crédito no Brasil: uma análise de utilidade de informação," Working Papers Series 119, Central Bank of Brazil, Research Department.

    Cited by:

    1. Correa, Arnildo da Silva & Minella, André, 2010. "Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(3), September.

  5. Ricardo Schechtman & Valéria Salomão Garcia & Sergio Mikio Koyama & Guilherme Cronemberger Parente, 2004. "Credit Risk Measurement and the Regulation of Bank Capital and Provision Requirements in Brazil - A Corporate Analysis," Working Papers Series 91, Central Bank of Brazil, Research Department.

    Cited by:

    1. Powell, Andrew & Mylenko, Nataliya & Miller, Margaret & Majnoni, Giovanni, 2004. "Improving credit information, bank regulation, and supervision : on the role and design of public credit registries," Policy Research Working Paper Series 3443, The World Bank.
    2. Barbara Alemanni & José Renato Haas Ornelas, 2006. "Herding Behavior by Equity Foreign Investors on Emerging Markets," Working Papers Series 125, Central Bank of Brazil, Research Department.
    3. Alexandre A. Tombini & Sergio A. Lago Alves, 2006. "The Recent Brazilian Disinflation Process and Costs," Working Papers Series 109, Central Bank of Brazil, Research Department.
    4. Flávia Mourão Graminho, 2006. "A Neoclassical Analysis of the Brazilian "Lost-Decades"," Working Papers Series 123, Central Bank of Brazil, Research Department.
    5. Ricardo Schechtman, 2007. "Joint Validation of Credit Rating PDs under Default Correlation," Working Papers Series 149, Central Bank of Brazil, Research Department.
    6. Correa, Arnildo da Silva & Minella, André, 2010. "Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(3), September.
    7. Márcio I. Nakane & Leonardo S. Alencar & Fabio Kanczuk, 2006. "Demand for Bank Services and Market Power in Brazilian Banking," Working Papers Series 107, Central Bank of Brazil, Research Department.
    8. Girault, Matias Gutierrez & Hwang, Jane, 2010. "Public credit registries as a tool for bank regulation and supervision," Policy Research Working Paper Series 5489, The World Bank.
    9. Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2008. "Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 199-223.
    10. Mauricio S. Bugarin & Fabia A. de Carvalho, 2005. "Comment on ‘Market discipline and monetary policy’ by Carl Walsh," Oxford Economic Papers, Oxford University Press, vol. 57(4), pages 732-739, October.
    11. Maria da Glória D. S. Araújo & Mirta Bugarin & Marcelo Kfoury Muinhos & Jose Ricardo C. Silva, 2006. "The Effect of Adverse Supply Shocks on Monetary Policy and Output," Working Papers Series 103, Central Bank of Brazil, Research Department.
    12. Angelo Marsiglia Fasolo, 2006. "Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets," Working Papers Series 112, Central Bank of Brazil, Research Department.
    13. Benjamin M. Tabak, 2006. "The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil," Working Papers Series 124, Central Bank of Brazil, Research Department.
    14. Solange Gouvea, 2007. "Price Rigidity in Brazil: Evidence from CPI Micro Data," Working Papers Series 143, Central Bank of Brazil, Research Department.
    15. Marcelo Y. Takami & Benjamin M. Tabak, 2007. "Evaluation of Default Risk for The Brazilian Banking Sector," Working Papers Series 135, Central Bank of Brazil, Research Department.
    16. Gilneu F. A. Vivan & Benjamin M. Tabak, 2007. "A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives," Working Papers Series 133, Central Bank of Brazil, Research Department.
    17. Marta Areosa & Waldyr Areosa, 2006. "The Inequality Channel of Monetary Transmission," Working Papers Series 114, Central Bank of Brazil, Research Department.
    18. Mirta Noemí Sataka Bugarin & Roberto de Goes Ellery Jr. & Victor Gomes Silva & Marcelo Kfoury Muinhos, 2005. "Steady State Analysis of an Open Economy General Equilibrium Model for Brazil," Working Papers Series 92, Central Bank of Brazil, Research Department.
    19. Marcelo Kfoury Muinhos & Márcio I. Nakane, 2006. "Comparing equilibrium real interest rates: different approaches to measure Brazilian rates," Working Papers Series 101, Central Bank of Brazil, Research Department.
    20. Jaqueline Terra Moura Marins & Eduardo Saliby & Joséte Florencio do Santos, 2006. "Out-Of-The_Money Monte Carlo Simulation Option Pricing: the join use of Importance Sampling and Descriptive Sampling," Working Papers Series 116, Central Bank of Brazil, Research Department.
    21. Aloísio P. Araújo & José Valentim M. Vicente, 2006. "Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint," Working Papers Series 118, Central Bank of Brazil, Research Department.
    22. World Bank, 2005. "Corporate Governance Country Assessment : Brazil," World Bank Publications - Reports 8273, The World Bank Group.
    23. Ana Carla A. Costa & João M. P. de Mello, 2006. "Judicial Risk and Credit Market Performance: Micro Evidence from Brazil Payroll Loans," Working Papers Series 102, Central Bank of Brazil, Research Department.

Articles

  1. Schechtman, Ricardo, 2013. "Default matrices: A complete measurement of banks’ consumer credit delinquency," Journal of Financial Stability, Elsevier, vol. 9(4), pages 460-474.

    Cited by:

    1. Bocchio, Cecilia & Crook, Jonathan & Andreeva, Galina, 2023. "The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1655-1677.

  2. Schechtman, Ricardo & Gaglianone, Wagner Piazza, 2012. "Macro stress testing of credit risk focused on the tails," Journal of Financial Stability, Elsevier, vol. 8(3), pages 174-192.
    See citations under working paper version above.

Books

    Sorry, no citations of books recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (8) 2007-06-02 2007-06-02 2007-12-01 2009-11-07 2011-05-30 2013-08-16 2014-10-22 2018-05-14. Author is listed
  2. NEP-RMG: Risk Management (3) 2007-12-01 2009-11-07 2011-05-30
  3. NEP-CBA: Central Banking (2) 2013-08-16 2018-05-14
  4. NEP-LAM: Central and South America (2) 2013-08-16 2018-05-14
  5. NEP-ECM: Econometrics (1) 2007-12-01
  6. NEP-SPO: Sports and Economics (1) 2013-08-16

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