nep-lam New Economics Papers
on Central and South America
Issue of 2013‒08‒16
three papers chosen by
Maximo Rossi
University of the Republic

  1. Systemic Risk Measures By Solange Maria Guerra; Benjamin Miranda Tabak; Rodrigo Andrés de Souza Penaloza; Rodrigo César de Castro Miranda
  2. Insolvency and Contagion in the Brazilian Interbank Market By Sergio R. S. Souza; Benjamin M. Tabak; Solange M. Guerra
  3. Loan Pricing Following a Macro Prudential Within-Sector Capital Measure By Bruno Martins; Ricardo Schechtman

  1. By: Solange Maria Guerra; Benjamin Miranda Tabak; Rodrigo Andrés de Souza Penaloza; Rodrigo César de Castro Miranda
    Abstract: In this paper we present systemic risk measures based on contingent claims approach, banking sector multivariate density and cluster analysis. These indicators aim to capture credit risk stress and its potential to become systemic. The proposed measures capture not only individual bank vulnerability, but also the stress dependency structure between them. Furthermore, these measures can be quite useful for identifying systematically important banks. The empirical results show that these indicators capture with considerable fidelity the moments of increasing systemic risk in the Brazilian banking sector in recent years.
    Date: 2013–08
    URL: http://d.repec.org/n?u=RePEc:bcb:wpaper:321&r=lam
  2. By: Sergio R. S. Souza; Benjamin M. Tabak; Solange M. Guerra
    Abstract: This paper analyzes the financial institutions (FIs) that operate in the Brazilian Interbank Market, investigating, through simulations, the potential contagion that they present, the contagion losses' and the contagion route associated to FIs' bankruptcies, and the value of the 1-year expected loss of the financial system. The paper also computes the possibility of contagion of other markets triggered by FIs' defaults in the interbank market. Besides, it identifies contagion transmitter FIs and losses amplifier FIs in the market studied. The analyses performed found no particularly important source of stress in the Brazilian financial system, in the period.
    Date: 2013–08
    URL: http://d.repec.org/n?u=RePEc:bcb:wpaper:320&r=lam
  3. By: Bruno Martins; Ricardo Schechtman
    Abstract: This paper investigates the consequences on loan spreads of a within-sector macro prudential capital measure in Brazil. Due to concerns related to a possibly too fast and unbalanced expansion of the auto-loan sector, regulatory capital was raised for auto-loans with specific long maturities and high LTVs. Our results show that Brazilian banks, after the regulatory measure, increased spreads charged on the same borrower for similar auto loans whose regulatory risk weights have increased. In comparison to the set of untargeted loans, the increase was at least of 13%. On the other hand, evidence on increase of spreads also for loans whose risk weights have not been altered is not robust. Finally, this paper shows that the later withdrawal of the regulatory capital measure was associated, similarly, to lower spreads charged on auto loans whose risk weights have decreased. Nevertheless, when measured relatively, this reduction in spreads was smaller than the original increase.
    Date: 2013–08
    URL: http://d.repec.org/n?u=RePEc:bcb:wpaper:323&r=lam

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