This paper presents an empirical analysis of the Brazilian interbank network structure. The Brazilian interbank market clearly presents a topology that is compatible to the free-scale networks. This market is characterized by money centers, which have exposures to many banks and are the most...

In this work we measure the evolution of the long-range dependence phenomenon of returns and volatilities of nominal British exchange rates (British pound against US dollar) futures contracts negotiated on the Chicago Mercantile Exchange from 1986 to 2004. The measurement employs the R/S classic...

This paper investigates the presence of contagion due to the subprime crisis through the analysis of increases in correlation and changes in the co-skewness degree in banking systems. We elaborate a ranking containing the countries which suffered more contagion. Empirical results reveal that...

This paper evaluates the loans market in Brazil in the 2003 to 2008 period. It measures diversification and nonperforming loans for Banks credit portfolios. We employ the credit risk bureau database, which classifies loans by sector and risk. Results show an increase in higher risk loans and...

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...