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Assessing financial instability: The case of Brazil

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  • Tabak, Benjamin M.
  • Staub, Roberta B.

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Bibliographic Info

Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 21 (2007)
Issue (Month): 2 (June)
Pages: 188-202

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Handle: RePEc:eee:riibaf:v:21:y:2007:i:2:p:188-202

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Web page: http://www.elsevier.com/locate/ribaf

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References

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  1. Clare, Andrew & Priestley, Richard, 2002. "Calculating the probability of failure of the Norwegian banking sector," Journal of Multinational Financial Management, Elsevier, vol. 12(1), pages 21-40, February.
  2. Garcia, René & Bonomo, Marco Antônio Cesar, 1999. "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," Economics Working Papers (Ensaios Economicos da EPGE) 350, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
  3. Burmeister, Edwin & McElroy, Marjorie B, 1988. " Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 43(3), pages 721-33, July.
  4. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
  5. Andrew Crockett, 1997. "Why is financial stability a goal of public policy?," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 5-22.
  6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  7. Maria Vassalou & Yuhang Xing, 2004. "Default Risk in Equity Returns," Journal of Finance, American Finance Association, vol. 59(2), pages 831-868, 04.
  8. Admati, Anat R. & Pfleiderer, Paul, 1985. "Interpreting the factor risk premia in the arbitrage pricing theory," Journal of Economic Theory, Elsevier, vol. 35(1), pages 191-195, February.
  9. Bystrom, Hans & Worasinchai, Lugkana & Chongsithipol, Srisuda, 2005. "Default risk, systematic risk and Thai firms before, during and after the Asian crisis," Research in International Business and Finance, Elsevier, vol. 19(1), pages 95-110, March.
  10. Clare, Andrew D, 1995. "Using the Arbitrage Pricing Theory to Calculate the Probability of Financial Institution Failure: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 920-26, August.
  11. Andrew Crockett, 1997. "Why is financial stability a goal of public policy?," Proceedings, Federal Reserve Bank of Kansas City, pages 7-36.
  12. Edward J. Frydl, 1999. "The Length and Cost of Banking Crises," IMF Working Papers 99/30, International Monetary Fund.
  13. Brailsford, T.J. & Lin, Shu Ling & Penm, Jack H.W., 2006. "Conditional risk, return and contagion in the banking sector in asia," Research in International Business and Finance, Elsevier, vol. 20(3), pages 322-339, September.
  14. Hoggarth, Glenn & Reis, Ricardo & Saporta, Victoria, 2002. "Costs of banking system instability: Some empirical evidence," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 825-855, May.
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Citations

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Cited by:
  1. Tabak, Benjamin M. & Luduvice, André Victor D. & Cajueiro, Daniel O., 2011. "Modeling default probabilities: The case of Brazil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 513-534, October.
  2. International Monetary Fund, 2010. "Post-Crisis Bank Behavior: Lessons from Mercosur," IMF Working Papers 10/1, International Monetary Fund.

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