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The effects of loan portfolio concentration on Brazilian banks' return and risk

Tabak, Benjamin Miranda; Fazio, Dimas M.; Cajueiro, … - 2010

Persistent link: https://www.econbiz.de/10008667499

Modeling default probabilities : the case of Brazil

Tabak, Benjamin Miranda; Cajueiro, Daniel Oliveira; … - 2011

Persistent link: https://www.econbiz.de/10008902412

Linking financial and macroeconomic factors to credit risk indicators of Brazilian banks

Souto, Marcos; Tabak, Benjamin Miranda; Vazquez, Francisco - 2009

Persistent link: https://www.econbiz.de/10003857106

The effects of loan portfolio concentration on Brazilian banks’ return and risk

Tabak, Benjamin Miranda; Fazio, Dimas M.; Cajueiro, … - In: Journal of banking & finance 35 (2011) 11, pp. 3065-3076

Persistent link: https://www.econbiz.de/10009374560

Prediction of default risk : an options-based approach applied to the Brazilian banking sector

Takami, Marcelo Yoshio; Tabak, Benjamin Miranda - In: Journal of banking regulation 12 (2011) 2, pp. 167-179

Persistent link: https://www.econbiz.de/10009155949

Bank efficiency and default in Brazil : causality tests

Tabak, Benjamin Miranda; Craveiro, Giovana L.; … - 2011

Persistent link: https://www.econbiz.de/10009531688

Modeling default probabilities : the case of Brazil

Tabak, Benjamin Miranda; Luduvice, André Victor Doherty; … - In: Journal of international financial markets, … 21 (2011) 4, pp. 513-534

Persistent link: https://www.econbiz.de/10009309054

A macro stress test model of credit risk for the Brazilian banking sector

Vázquez, Francisco; Tabak, Benjamin Miranda; Souto, Marcos - 2010

Persistent link: https://www.econbiz.de/10008749643

Conectividade e risco sistêmico no sistema de pagamentos brasileiro

Tabak, Benjamin Miranda; Miranda, Rodrigo Cesar de Castro; … - 2012

Persistent link: https://www.econbiz.de/10009674869

A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector

Vazquez, Francisco - 2010

This paper proposes a model to conduct macro stress test of credit risk for the banking system based on scenario analysis. We employ an original bank-level data set that splits bank credit portfolios in 21 granular categories, encompassing household and corporate loans. The results corroborate...

Persistent link: https://www.econbiz.de/10013135507