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Indicadores de riesgo de crédito derivado de los depósitos bancarios constituidos en el exterior

Author

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  • Verónica Rodriguez

Abstract

This document presents a set of indicators designed to measure the credit risk implicit in the deposits maintained by domestic financial institutions in foreign countries. It discusses the theoretical definition of the indicators, the software implementation and a case of study based on the Uruguayan banking system. As a result it provides five measures of risk: the joint probability of default for foreign depositary institutions, the dependence matrix, the exposition indicator, the probability that at least one institution enters in default conditional to another institution entered in default or domino index and the bank stability index.

Suggested Citation

  • Verónica Rodriguez, 2012. "Indicadores de riesgo de crédito derivado de los depósitos bancarios constituidos en el exterior," Documentos de Trabajo (working papers) 1612, Department of Economics - dECON.
    • Handle: RePEc:ude:wpaper:1612
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    File URL: https://hdl.handle.net/20.500.12008/2240
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    More about this item

    Keywords

    risk indicators; probability of default; credit default swap; deposits in foreign countries; financial stability; joint probability functions;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
    • G00 - Financial Economics - - General - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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