07130oam 22015014 450 991096559650332120250426110906.0978661284324297814623648551462364853978145275007114527500769781282843240128284324997814518725691451872569(CKB)3170000000055263(EBL)1608289(SSID)ssj0000940748(PQKBManifestationID)11492016(PQKBTitleCode)TC0000940748(PQKBWorkID)10955515(PQKB)10976922(OCoLC)645488693(IMF)WPIEE2009109(MiAaPQ)EBC1608289(IMF)WPIEA2009109WPIEA2009109(EXLCZ)99317000000005526320020129d2009 uf 0engur|n|---|||||txtccrEstimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector /Marcos Souto, Rodolphe Blavy1st ed.Washington, D.C. :International Monetary Fund,2009.1 online resource (34 p.)IMF Working PapersDescription based upon print version of record.9781451916867 1451916868 Includes bibliographical references.Contents; I. Introduction; II. The Merton Framework Using Book Value Data; Figures; 1. Distribution of Asset Value; III. Background: A Few Stylized Facts About the Mexican Banking System; IV. Estimating Credit Risk Indicators for the Mexican Banking Sector; A. Data and Methodological Assumptions; B. Credit Risk Indicators; C. Book-Value Credit Risk Indicators and Other Measures of Banking Risk; 2. Correlation Between EDF and NPL; Tables; 1. Granger Tests for the Aggregated Banking System; 3a. Distribution of EDF (LCU); 3b. Distribution of NPL (in % of TA); V. Assessing Macrofinancial Linkages2. Stepwise Regression for the Aggregated Banking SystemPanel A: Using estimated EDF as the dependent variable and NPL as one of the possible covariates.; Panel B: When NPL is not one of the possible covariates; 3. Determinants of Individual Banks' EDFs: Results of Stepwise Regressions; VI. Summary and Conclusion; 4. Panel Regression Results; 4. Banking Risk Indicators, December 1998-June 2008; 5. Large Banks: Banking Risk Indicators, December 1998-June 2008; 6. Small- and Medium-Size Banks: Banking Risk Indicators, December 2002-June 20087. Small Subsidies of Foreign Banks: Banking Risk Indicators, December 1998-June 20088. BACC: Banking Risk Indicators, December 1998-June 2008; 9. Bank 1: Banking Risk Indicators, December 1998-June 2008; 10. Bank 2: Banking Risk Indicators, December 1998-June 2008; 11. Bank 3: Banking Risk Indicators, December 1998-June 2008; 12. Bank 4: Banking Risk Indicators, December 1998-June 2008; 13. Bank 5: Banking Risk Indicators, December 1998-June 2008; References; AppendixThe 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.IMF Working Papers; Working Paper ;No. 2009/109Default (Finance)Financial risk managementAccountingimfBank soundnessimfBankingimfBanks and BankingimfBanks and bankingimfBanksimfCapital and Ownership StructureimfCommercial banksimfCredit riskimfDepository InstitutionsimfFinanceimfFinance, PublicimfFinance: GeneralimfFinancial institutionsimfFinancial regulation and supervisionimfFinancial reporting, financial statementsimfFinancial Risk and Risk ManagementimfFinancial risk managementimfFinancial sector policy and analysisimfFinancial services law & regulationimfFinancial statementsimfFinancing PolicyimfGeneral Financial Markets: Government Policy and RegulationimfGoodwillimfIndustries: Financial ServicesimfLoansimfMicro Finance InstitutionsimfMortgagesimfNonperforming loansimfPublic AdministrationimfPublic financial management (PFM)imfPublic Sector Accounting and AuditsimfValue of FirmsimfUnited StatesimfDefault (Finance)Financial risk management.AccountingBank soundnessBankingBanks and BankingBanks and bankingBanksCapital and Ownership StructureCommercial banksCredit riskDepository InstitutionsFinanceFinance, PublicFinance: GeneralFinancial institutionsFinancial regulation and supervisionFinancial reporting, financial statementsFinancial Risk and Risk ManagementFinancial risk managementFinancial sector policy and analysisFinancial services law & regulationFinancial statementsFinancing PolicyGeneral Financial Markets: Government Policy and RegulationGoodwillIndustries: Financial ServicesLoansMicro Finance InstitutionsMortgagesNonperforming loansPublic AdministrationPublic financial management (PFM)Public Sector Accounting and AuditsValue of Firms332.152Souto Marcos1815678Blavy Rodolphe1815679DcWaIMFBOOK9910965596503321Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector4371143UNINA