LEADER 06887oam 22013934 450 001 9910788335303321 005 20230721045722.0 010 $a1-4623-6485-3 010 $a1-4527-5007-6 010 $a9786612843242 010 $a1-282-84324-9 010 $a1-4518-7256-9 035 $a(CKB)3170000000055263 035 $a(EBL)1608289 035 $a(SSID)ssj0000940748 035 $a(PQKBManifestationID)11492016 035 $a(PQKBTitleCode)TC0000940748 035 $a(PQKBWorkID)10955515 035 $a(PQKB)10976922 035 $a(OCoLC)645488693 035 $a(MiAaPQ)EBC1608289 035 $a(IMF)WPIEE2009109 035 $a(EXLCZ)993170000000055263 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aEstimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector /$fMarcos Souto, Rodolphe Blavy 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a1 online resource (34 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-4519-1686-8 320 $aIncludes bibliographical references. 327 $aContents; 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 Linkages 327 $a2. 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 2008 327 $a7. 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; Appendix 330 3 $aThe credit risk measures we develop in this paper are used to investigate macrofinancial linkages in the Mexican banking system. Domestic and external macro-financial variables are found to be closely associated with banking soundness. At the aggregate level, high external volatility and domestic interest rates are associated with higher expected default probability. Though results vary substantially across individual banks, domestic activity and U.S. growth, and higher asset prices, are generally associated with lower credit risks, while increased volatility worsens credit risks. The expected default probability is also found to be a leading indicator of traditional financial stability indicators. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/109 606 $aDefault (Finance) 606 $aFinancial risk management 606 $aAccounting$2imf 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aIndustries: Financial Services$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aFinancing Policy$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aCapital and Ownership Structure$2imf 606 $aValue of Firms$2imf 606 $aGoodwill$2imf 606 $aGeneral Financial Markets: Government Policy and Regulation$2imf 606 $aPublic Administration$2imf 606 $aPublic Sector Accounting and Audits$2imf 606 $aBanking$2imf 606 $aFinancial services law & regulation$2imf 606 $aFinance$2imf 606 $aFinancial reporting, financial statements$2imf 606 $aCredit risk$2imf 606 $aCommercial banks$2imf 606 $aBank soundness$2imf 606 $aFinancial statements$2imf 606 $aFinancial regulation and supervision$2imf 606 $aFinancial institutions$2imf 606 $aFinancial sector policy and analysis$2imf 606 $aNonperforming loans$2imf 606 $aPublic financial management (PFM)$2imf 606 $aBanks and banking$2imf 606 $aFinancial risk management$2imf 606 $aFinance, Public$2imf 606 $aLoans$2imf 607 $aUnited States$2imf 615 0$aDefault (Finance) 615 0$aFinancial risk management. 615 7$aAccounting 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aIndustries: Financial Services 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aFinancing Policy 615 7$aFinancial Risk and Risk Management 615 7$aCapital and Ownership Structure 615 7$aValue of Firms 615 7$aGoodwill 615 7$aGeneral Financial Markets: Government Policy and Regulation 615 7$aPublic Administration 615 7$aPublic Sector Accounting and Audits 615 7$aBanking 615 7$aFinancial services law & regulation 615 7$aFinance 615 7$aFinancial reporting, financial statements 615 7$aCredit risk 615 7$aCommercial banks 615 7$aBank soundness 615 7$aFinancial statements 615 7$aFinancial regulation and supervision 615 7$aFinancial institutions 615 7$aFinancial sector policy and analysis 615 7$aNonperforming loans 615 7$aPublic financial management (PFM) 615 7$aBanks and banking 615 7$aFinancial risk management 615 7$aFinance, Public 615 7$aLoans 700 $aSouto$b Marcos$01472650 701 $aBlavy$b Rodolphe$01463974 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788335303321 996 $aEstimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector$93685558 997 $aUNINA