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Estimating default frequencies and macrofinancial linkages in the Mexican banking sector [[electronic resource] /] / prepared by Roldolphe Blavy and Marcos Souto
| Estimating default frequencies and macrofinancial linkages in the Mexican banking sector [[electronic resource] /] / prepared by Roldolphe Blavy and Marcos Souto |
| Autore | Blavy Roldolphe |
| Pubbl/distr/stampa | [Washington D.C.], : International Monetary Fund, 2009 |
| Descrizione fisica | 1 online resource (34 p.) |
| Altri autori (Persone) | SoutoMarcos Rietti |
| Collana | IMF working paper |
| Soggetto topico |
Default (Finance)
Financial risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-6485-3
1-4527-5007-6 9786612843242 1-282-84324-9 1-4518-7256-9 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Linkages
2. 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 7. 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 |
| Record Nr. | UNINA-9910464014803321 |
Blavy Roldolphe
|
||
| [Washington D.C.], : International Monetary Fund, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector / / Marcos Souto, Rodolphe Blavy
| Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector / / Marcos Souto, Rodolphe Blavy |
| Autore | Souto Marcos |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (34 p.) |
| Altri autori (Persone) | BlavyRodolphe |
| Collana | IMF Working Papers |
| Soggetto topico |
Default (Finance)
Financial risk management Accounting Banks and Banking Finance: General Industries: Financial Services Banks Depository Institutions Micro Finance Institutions Mortgages Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill General Financial Markets: Government Policy and Regulation Public Administration Public Sector Accounting and Audits Banking Financial services law & regulation Finance Financial reporting, financial statements Credit risk Commercial banks Bank soundness Financial statements Financial regulation and supervision Financial institutions Financial sector policy and analysis Nonperforming loans Public financial management (PFM) Banks and banking Finance, Public Loans |
| ISBN |
1-4623-6485-3
1-4527-5007-6 9786612843242 1-282-84324-9 1-4518-7256-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Linkages
2. 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 7. 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 |
| Record Nr. | UNINA-9910788335303321 |
|
Souto Marcos
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector / / Marcos Souto, Rodolphe Blavy
| Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector / / Marcos Souto, Rodolphe Blavy |
| Autore | Souto Marcos |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (34 p.) |
| Disciplina | 332.152 |
| Altri autori (Persone) | BlavyRodolphe |
| Collana | IMF Working Papers |
| Soggetto topico |
Default (Finance)
Financial risk management Accounting Banks and Banking Finance: General Industries: Financial Services Banks Depository Institutions Micro Finance Institutions Mortgages Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill General Financial Markets: Government Policy and Regulation Public Administration Public Sector Accounting and Audits Banking Financial services law & regulation Finance Financial reporting, financial statements Credit risk Commercial banks Bank soundness Financial statements Financial regulation and supervision Financial institutions Financial sector policy and analysis Nonperforming loans Public financial management (PFM) Banks and banking Finance, Public Loans |
| ISBN |
1-4623-6485-3
1-4527-5007-6 9786612843242 1-282-84324-9 1-4518-7256-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Linkages
2. 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 7. 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 |
| Record Nr. | UNINA-9910817193403321 |
|
Souto Marcos
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Federal Perkins loan program status of default as of June 30 .
| Federal Perkins loan program status of default as of June 30 . |
| Pubbl/distr/stampa | [Washington, D.C.], : Federal Student Aid |
| Soggetto topico |
Student loans - United States
Default (Finance) - United States Default (Finance) Student loans |
| Soggetto genere / forma |
Periodicals.
Statistics. |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Federal Perkins loan program status of default as of June 30 .. |
| Record Nr. | UNINA-9910692087403321 |
| [Washington, D.C.], : Federal Student Aid | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lending Resumption After Default : : Lessons from Capital Markets During the 19th Century / / Juan Sole
| Lending Resumption After Default : : Lessons from Capital Markets During the 19th Century / / Juan Sole |
| Autore | Sole Juan |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (28 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Debts, Public
Default (Finance) Finance: General Macroeconomics Money and Monetary Policy Industries: Financial Services Environmental Economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Banks Depository Institutions Micro Finance Institutions Mortgages Macroeconomics: Consumption Saving Wealth General Financial Markets: General (includes Measurement and Data) Environmental Economics: General Finance Monetary economics Environmental economics Credit Loans Consumption International capital markets Environment Economics Capital market Environmental sciences |
| ISBN |
1-4623-2155-0
1-4527-5821-2 1-282-44728-9 1-4519-8717-X 9786613820938 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. MOTIVATION""; ""II. HISTORICAL EVIDENCE ON DEFAULT AND LENDING RESUMPTION""; ""III. THE ENVIRONMENT""; ""IV. OBSERVABLE TYPES""; ""V. UNOBSERVABLE TYPES""; ""VI. CONCLUDING REMARKS""; ""PROOFS OF PROPOSITIONS 3 AND 4 ""; ""REFERENCES"" |
| Record Nr. | UNINA-9910788522903321 |
|
Sole Juan
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lending Resumption After Default : : Lessons from Capital Markets During the 19th Century / / Juan Sole
| Lending Resumption After Default : : Lessons from Capital Markets During the 19th Century / / Juan Sole |
| Autore | Sole Juan |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (28 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Debts, Public
Default (Finance) Finance: General Macroeconomics Money and Monetary Policy Industries: Financial Services Environmental Economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Banks Depository Institutions Micro Finance Institutions Mortgages Macroeconomics: Consumption Saving Wealth General Financial Markets: General (includes Measurement and Data) Environmental Economics: General Finance Monetary economics Environmental economics Credit Loans Consumption International capital markets Environment Economics Capital market Environmental sciences |
| ISBN |
1-4623-2155-0
1-4527-5821-2 1-282-44728-9 1-4519-8717-X 9786613820938 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. MOTIVATION""; ""II. HISTORICAL EVIDENCE ON DEFAULT AND LENDING RESUMPTION""; ""III. THE ENVIRONMENT""; ""IV. OBSERVABLE TYPES""; ""V. UNOBSERVABLE TYPES""; ""VI. CONCLUDING REMARKS""; ""PROOFS OF PROPOSITIONS 3 AND 4 ""; ""REFERENCES"" |
| Record Nr. | UNINA-9910808810403321 |
|
Sole Juan
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lending resumption after default [[electronic resource] ] : lessons from capital markets during the 19th century / / prepared by Juan Solé
| Lending resumption after default [[electronic resource] ] : lessons from capital markets during the 19th century / / prepared by Juan Solé |
| Autore | Solé Juan |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, c2006 |
| Descrizione fisica | 1 online resource (28 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Debts, Public
Default (Finance) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-2155-0
1-4527-5821-2 1-282-44728-9 1-4519-8717-X 9786613820938 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. MOTIVATION""; ""II. HISTORICAL EVIDENCE ON DEFAULT AND LENDING RESUMPTION""; ""III. THE ENVIRONMENT""; ""IV. OBSERVABLE TYPES""; ""V. UNOBSERVABLE TYPES""; ""VI. CONCLUDING REMARKS""; ""PROOFS OF PROPOSITIONS 3 AND 4 ""; ""REFERENCES"" |
| Record Nr. | UNINA-9910464835203321 |
|
Solé Juan
|
||
| [Washington, D.C.], : International Monetary Fund, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market-based estimation of default probabilities and its application to financial market surveillance [[electronic resource] /] / prepared by Jorge A. Chan-Lau
| Market-based estimation of default probabilities and its application to financial market surveillance [[electronic resource] /] / prepared by Jorge A. Chan-Lau |
| Autore | Chan-Lau Jorge A |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, IMF Institute, 2006 |
| Descrizione fisica | 1 online resource (19 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Default (Finance)
Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-7503-0
1-4527-9353-0 1-283-51549-0 1-4519-0898-9 9786613827944 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE""; ""II. CREDIT DEFAULT SWAPS""; ""III. BONDS""; ""IV. EQUITY PRICES""; ""V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES""; ""VI. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910463965703321 |
|
Chan-Lau Jorge A
|
||
| [Washington, D.C.], : International Monetary Fund, IMF Institute, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance / / Jorge Chan-Lau
| Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance / / Jorge Chan-Lau |
| Autore | Chan-Lau Jorge |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (19 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Default (Finance)
Risk management Financial Risk Management Investments: Bonds Investments: Stocks Macroeconomics Money and Monetary Policy International Financial Markets Monetary Policy, Central Banking, and the Supply of Money and Credit: General General Financial Markets: General (includes Measurement and Data) Price Level Inflation Deflation Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Monetary economics Investment & securities Finance Credit default swap Bonds Asset prices Stocks Asset valuation Money Financial institutions Prices Asset and liability management Credit Asset-liability management |
| ISBN |
1-4623-7503-0
1-4527-9353-0 1-283-51549-0 1-4519-0898-9 9786613827944 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE""; ""II. CREDIT DEFAULT SWAPS""; ""III. BONDS""; ""IV. EQUITY PRICES""; ""V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES""; ""VI. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910788405803321 |
|
Chan-Lau Jorge
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance / / Jorge Chan-Lau
| Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance / / Jorge Chan-Lau |
| Autore | Chan-Lau Jorge |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (19 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Default (Finance)
Risk management Financial Risk Management Investments: Bonds Investments: Stocks Macroeconomics Money and Monetary Policy International Financial Markets Monetary Policy, Central Banking, and the Supply of Money and Credit: General General Financial Markets: General (includes Measurement and Data) Price Level Inflation Deflation Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Monetary economics Investment & securities Finance Credit default swap Bonds Asset prices Stocks Asset valuation Money Financial institutions Prices Asset and liability management Credit Asset-liability management |
| ISBN |
1-4623-7503-0
1-4527-9353-0 1-283-51549-0 1-4519-0898-9 9786613827944 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE""; ""II. CREDIT DEFAULT SWAPS""; ""III. BONDS""; ""IV. EQUITY PRICES""; ""V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES""; ""VI. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910816282503321 |
|
Chan-Lau Jorge
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
-
Default (Finance)
(26)
- Finance (10)
- Finance: General (8)
- Monetary economics (8)
- Money and Monetary Policy (8)