Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks
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Citations
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Cited by:
- Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
- Guerra, Solange Maria & Silva, Thiago Christiano & Tabak, Benjamin Miranda & de Souza Penaloza, Rodrigo Andrés & de Castro Miranda, Rodrigo César, 2016.
"Systemic risk measures,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 329-342.
- Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Andrés de Souza Penaloza & Rodrigo César de Castro Miranda, 2013. "Systemic Risk Measures," Working Papers Series 321, Central Bank of Brazil, Research Department.
- Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Andrés De Souza Penaloza & Rodrigo César De Castro Mirand, 2014. "Systemic Risk Measures," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 124, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Jin, Xisong & Nadal De Simone, Francisco de A., 2014.
"Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach,"
Journal of Financial Stability, Elsevier, vol. 14(C), pages 81-101.
- Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
- Souza, Sergio R.S. & Tabak, Benjamin M. & Silva, Thiago C. & Guerra, Solange M., 2015.
"Insolvency and contagion in the Brazilian interbank market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 431(C), pages 140-151.
- Sergio R. S. Souza & Benjamin M. Tabak & Solange M. Guerra, 2013. "Insolvency and Contagion in the Brazilian Interbank Market," Working Papers Series 320, Central Bank of Brazil, Research Department.
- Mr. Marcos R Souto & Mr. Rodolphe Blavy, 2009. "Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector," IMF Working Papers 2009/109, International Monetary Fund.
- Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.
- Souza, Sergio Rubens Stancato de & Silva, Thiago Christiano & Tabak, Benjamin Miranda & Guerra, Solange Maria, 2016.
"Evaluating systemic risk using bank default probabilities in financial networks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 66(C), pages 54-75.
- Sergio Rubens Stancato de Souza & Thiago Christiano Silva & Benjamin Miranda Tabak & Solange Maria Guerra, 2016. "Evaluating Systemic Risk using Bank Default Probabilities in Financial Networks," Working Papers Series 426, Central Bank of Brazil, Research Department.
- International Monetary Fund, 2012. "Brazil: Selected Issues Paper," IMF Staff Country Reports 2012/192, International Monetary Fund.
- Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
- Xisong Jin & Francisco Nadal de Simone, 2011. "Market- and Book-Based Models of Probability of Default for Developing Macroprudential Policy Tools," BCL working papers 65, Central Bank of Luxembourg.
- Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
- International Monetary Fund, 2013. "Brazil: Technical Note on Consumer Credit Growth and Household Financial Stress," IMF Staff Country Reports 2013/149, International Monetary Fund.
- Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.
- João Barata Ribeiro Blanco Barroso & Sergio Rubens Stancato de Souza & Solange Maria Guerra, 2016. "Systemic Risk-Taking Channel of Domestic and Foreign Monetary Policy," Working Papers Series 412, Central Bank of Brazil, Research Department.
- Xisong Jin, 2018. "How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation," BCL working papers 118, Central Bank of Luxembourg.
- Benjamin M. Tabak & Sergio R. S. Souza & Solange M. Guerra, 2013. "Assessing Systemic Risk in the Brazilian Interbank Market," Working Papers Series 318, Central Bank of Brazil, Research Department.
- Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2009-09-05 (Banking)
- NEP-CFN-2009-09-05 (Corporate Finance)
- NEP-FMK-2009-09-05 (Financial Markets)
- NEP-LAM-2009-09-05 (Central and South America)
- NEP-MAC-2009-09-05 (Macroeconomics)
- NEP-RMG-2009-09-05 (Risk Management)
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