This study constructs a set of credit risk indicators for 39 Brazilian banks, using the Merton framework and balance sheet information on the banks' total assets and liabilities. Despite the simplifying assumptions, the methodology captures well several stylized facts in the recent history of...

This paper investigates the effectiveness of depositor discipline for the Brazilian banking industry. The study shows that depositors are able do discriminate between well and poorly managed banks. Evidence of market discipline is found, both via quantity (withdrawal of deposits) and prices...