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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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  • Tabak, Benjamin M. & Staub, Roberta B., 2007. "Assessing financial instability: The case of Brazil," Research in International Business and Finance, Elsevier, vol. 21(2), pages 188-202, June.
    • Handle: RePEc:eee:riibaf:v:21:y:2007:i:2:p:188-202
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    References listed on IDEAS

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    1. Bystrom, Hans N. E., 2004. "The market's view on the probability of banking sector failure: cross-country comparisons," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 419-438, December.
    2. 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.
    3. Garcia, Rene & Bonomo, Marco, 2001. "Tests of conditional asset pricing models in the Brazilian stock market," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 71-90, February.
    4. Andrew D. 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.
    5. 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 449-470, May.
    6. 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.
    7. 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 920-926, August.
    8. Andrew D. Crockett, 1997. "Why is financial stability a goal of public policy?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 7-36.
    9. Edward J Frydl, 1999. "The Length and Cost of Banking Crises," IMF Working Papers 99/30, International Monetary Fund.
    10. 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.
    11. 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 721-733, July.
    12. 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 637-654, May-June.
    13. Maria Vassalou & Yuhang Xing, 2004. "Default Risk in Equity Returns," Journal of Finance, American Finance Association, vol. 59(2), pages 831-868, April.
    14. 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.
    15. 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.
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    Cited by:

    1. Espinosa-Torres, Juan Andrés & Gomez-Gonzalez, Jose Eduardo & Melo-Velandia, Luis Fernando & Moreno-Gutiérrez, José Fernando, 2016. "The international transmission of risk: Causal relations among developed and emerging countries’ term premia," Research in International Business and Finance, Elsevier, vol. 37(C), pages 646-654.
    2. Vazquez, Francisco & Tabak, Benjamin M. & Souto, Marcos, 2012. "A macro stress test model of credit risk for the Brazilian banking sector," Journal of Financial Stability, Elsevier, vol. 8(2), pages 69-83.
    3. Ladrón de Guevara Cortés Rogelio & Torra Porras Salvador, 2014. "Estimation of the underlying structure of systematic risk with the use of principal component analysis and factor analysis," Contaduría y Administración, Accounting and Management, vol. 59(3), pages 197-234, julio-sep.
    4. 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.
    5. Mamede, Samuel de Paiva Naves & Malaquias, Rodrigo Fernandes, 2017. "Monday effect in Brazilian hedge funds with immediate redemption," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 47-53.
    6. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
    7. Sarah Sanya & Montfort Mlachila, 2010. "Post-Crisis Bank Behavior; Lessons From Mercosur," IMF Working Papers 10/1, International Monetary Fund.

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