Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector
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Cited by:
- International Monetary Fund, 2009. "Mexico: Selected Issues," IMF Staff Country Reports 2009/054, International Monetary Fund.
- Rodrigo A. Alfaro & Rodrigo Cifuentes S., 2011.
"Financial Stability, Monetary Policy, and Central Banking: An Overview,"
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- Saldías, Martín, 2013.
"Systemic risk analysis using forward-looking Distance-to-Default series,"
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- Martin Saldias Zambrana, 2010. "Systemic risk analysis using forward-looking distance-to-default series," Working Papers (Old Series) 1005, Federal Reserve Bank of Cleveland.
- Martín Saldias, 2012. "Systemic Risk Analysis using Forward-Looking Distance-to-Default Series," Working Papers w201216, Banco de Portugal, Economics and 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.
- Gulcan Yildirim Gungor & Tuba Pelin Sumer, 2020. "Alternative Approaches for Modelling Corporate Sector Credit Risk," CBT Research Notes in Economics 2017, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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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.
- Roland Beck & Petr Jakubik & Anamaria Piloiu, 2015. "Key Determinants of Non-performing Loans: New Evidence from a Global Sample," Open Economies Review, Springer, vol. 26(3), pages 525-550, July.
- 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.
- Beck, Roland & Jakubik, Petr & Piloiu, Anamaria, 2013. "Non-performing loans: what matters in addition to the economic cycle?," Working Paper Series 1515, European Central Bank.
- 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.
- Xisong Jin, 2024. "Decomposing systemic risk measures by bank business model in Luxembourg," BCL working papers 182, Central Bank of Luxembourg.
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Keywords
WP; bank; book value; asset; banking sector; credit risk; macrofinancial links; Mexico; banking sector soundness; credit risk indicator; asset volatility; book value risk indicator; bank vulnerability; medium-size bank; banking system; book value asset volatility; risk measure; downside-risk volatility; balance sheet datum; Commercial banks; Bank soundness; Nonperforming loans; Financial statements; Global;All these keywords.
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