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

Verónica Rodriguez

No 1612, Documentos de Trabajo (working papers) from Department of Economics - dECON

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.

Keywords: risk indicators; probability of default; credit default swap; deposits in foreign countries; financial stability; joint probability functions (search for similar items in EconPapers)
JEL-codes: C60 C88 G00 G21 (search for similar items in EconPapers)
Pages: 60 pages
Date: 2012-11
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Persistent link: https://EconPapers.repec.org/RePEc:ude:wpaper:1612

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