Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks

摘要: This study constructs a set of credit risk indicators for 39 Brazilian banks, using the Merton framework and balance sheet information on banks’ total assets liabilities. Despite simplifying assumptions, methodology captures well several stylized facts in recent history Brazil. In particular, it identifies deterioration banking sector, following crisis early 2000s. The were regressed against number macro-financial variables at both individual systemic level, showing that an increase system EDF, interest rates, CDS spreads will lead to expected default probability.