 | Macro-Financial Implications of Corporate (De)Leveraging in the Euro Area Periphery Author/Editor: Manuela Goretti, Marcos Souto. Release Date:June, 2013 High corporate indebtedness can pose an important threat to the adjustment processes in some of the Euro area periphery countries, through its drag on investment as well as the possible migration of more...
| Price: $18.00
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| Recent Advances in Credit Risk Modeling Author/Editor: Jose Giancarlo Gasha, Andre Santos, Jorge A. Chan-Lau, Carlos I. Medeiros, Marcos Souto, Christian Capuano. Release Date:August, 2009 As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and more...
| Price: $18.00
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| Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector Author/Editor: Marcos Souto, Rodolphe Blavy. Release Date:May, 2009 The 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 more...
| Price: $18.00
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| Testing for Structural Breaks in Small Samples Author/Editor: Sergei Antoshin, Andrew Berg, Marcos Souto. Release Date:March, 2008 In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations more...
| Price: $18.00
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| Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate Author/Editor: Marcos Souto, Theodore M Barnhill. Release Date:December, 2007 Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show more...
| Price: $18.00
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| Measuring Sovereign Risk in Turkey : An Application of the Contingent Claims Approach Author/Editor: Christian Keller, Peter Kunzel, Marcos Souto. Release Date:October, 2007 Improved macroeconomic conditions and changes to the asset-liability structure on Turkish balance sheets since the 2001 crisis have improved Turkey's overall sovereign risk profile. Nonetheless, the more...
| Price: $18.00
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