An Analysis of Off-Site Supervision of Banks' Profitability, Risk and Capital Adequacy: a portfolio simulation approach applied to brazilian banks
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- 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.
- Francisco Vazquez & Benjamin M. Tabak & Marcos Souto, 2010. "A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector," Working Papers Series 226, Central Bank of Brazil, Research Department.
- Barnhill, Theodore M. & Souto, Marcos Rietti, 2008. "Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations," Discussion Paper Series 2: Banking and Financial Studies 2008,13, Deutsche Bundesbank.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-02 (All new papers)
- NEP-BAN-2007-06-02 (Banking)
- NEP-CMP-2007-06-02 (Computational Economics)
- NEP-RMG-2007-06-02 (Risk Management)
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