A loan-level analysis of financial resilience in Mexico

Cantú, Carlos; Lobato, Roberto; López, Calixto; López-Gallo, Fabrizio

doi:10.1016/j.jbankfin.2020.105951

Cited by 11 publications

(10 citation statements)

References 28 publications

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“…Analysis of summary statistics provides essential steps in understanding the nature of the covariates and the potential measurement problems that may arise in the estimation process due to extreme values. 43 industry and individual firm level to predict micro/SMEs loans, we examine how the loan default rates vary when grouping defaults for each of these groups. Table 3 shows the firm's default rate assuming that when the firm defaults on one of its loans, it also defaults on all of its outstanding loan obligations.…”

Section: Descriptive Statistics and Correlationmentioning

confidence: 99%

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Exploring the sources of loan default clustering using survival analysis with frailty

Batiz‐Zuk¹,

Mohamed²,

Sánchez-Cajal³

2021

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This paper investigates whether three microeconomic loan characteristics are sources of loan default clustering in the Mexican banking sector by employing survival analysis with frailty. Using a large sample of bank loan level data granted to micro, small and medium sized firms from January 2010 to 2018, we test whether classifying loans by the bank's systemic importance, industry or at individual firm level enhances the predictions of loans defaults. Our results show that loans granted by Domestic Systemically Important Banks contribute to the default clustering in micro and small firm loans. This is due to aggregate default rate levels and clusters that are large for these firms loans compared with loans provided to medium-sized firms. These findings have important implications for bank's expected loss management related to the correlated loan default risk

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Section: Descriptive Statistics and Correlationmentioning

confidence: 99%

“…Second, the difference in firm default rates between the three types of firms is smaller compared to the loan default rates as shown in Table 2. 43 Source: Banco de México, authors' calculations.…”

Section: Descriptive Statistics and Correlationmentioning

confidence: 99%

Exploring the sources of loan default clustering using survival analysis with frailty

Batiz‐Zuk¹,

Mohamed²,

Sánchez-Cajal³

2021

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“…Current research on resilience focuses on the perspectives of organizational resilience, supply chain resilience, economic resilience, and financial resilience [13,25,56,87]. There are factors that can improve the resilience of organizations and supply chains, such as innovation capabilities, R&D innovation, resource acquisition capabilities, organizational flexibility, and social responsibility.…”

Section: Introductionmentioning

confidence: 99%

Research on the impact of AI application on capital chain resilience

2023

Preprint

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Unfavorable external factors such as COVID-19 and economy recession have affected the abilities of enterprises to continue operating. Among them, capital chain resilience has become a key issue for enterprises. In the new era, artificial intelligence (AI) technology can provide new solutions for avoiding the breakage of the capital chain. Using data from listed companies in China, we find that AI technology can improve capital chain resilience. The main impact mechanism is to reduce the level of corporate financial constraints and improve internal control efficiency, and when corporate governance efficiency and resource acquisition capability are lower, such as poor levels of executive supervision and incentive, governance, executive resource acquisition ability, financial statement tone, business and financing environment, the effect of AI technology on improving capital chain resilience is more obvious. We enrich the research on AI and capital chain resilience, provide references for enterprises to use AI technology to help enterprises obtain more funds, warn of risks, and make correct decisions quickly in a crisis to help enterprises survive the crisis smoothly.

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“…In particular, using this indicator can contribute to previous literature focused on analyzing the monetary transmission mechanism through the credit channel in Mexico. Specifically, it can be employed as an alternative or complementary variable to be included in models as the ones presented in Sidaoui and Ramos-Francia (2008), Ibarra (2016) or Cantú, Lobato, López, and López-Gallo (2019). It could also help to complement studies on the international monetary policy transmission mechanism of the credit channels, as in Morais, Peydró, Roldán-Peña and Ruiz (2017).…”

Section: Introductionmentioning

confidence: 99%

“…For example, our study focuses only on the effects of credit spread and its components on aggregate financing, but further analysis can explore the different responses on other credit aggregates, such as like households' or firm's financing, as in Sidaoui and Ramos-Francia (2008) or Ibarra (2016). Likewise, the cross-sectional nature of the dataset could be used to examine if the credit channel works differently by separating firms by size or any other characteristic, like in Cantú, Lobato, López, and López-Gallo (2019).…”

Section: Introductionmentioning

confidence: 99%

Financial Frictions in Mexico: Evidence from the Credit Spread and its Components

Aguirre¹,

Gómez²

2021

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Este artículo investiga la relación entre las fricciones en los mercados financieros y la actividad económica en México, para lo cual se construye y descompone un diferencial de tasas para los bonos emitidos por empresas privadas no financieras en el mercado interno, basado en Gilchrist y Zakrajsek (2012). Se muestra que el diferencial contiene información significativa sobre la evolución de la actividad económica y de los agregados crediticios. Además, se encuentra que la prima excedente de los bonos (PEB), cuya dinámica describe la relación entre la probabilidad de impago de las empresas y su diferencial de tasas, es el componente con mayor poder predictivo. Se muestra que choques negativos en las condiciones financieras, identificados como innovaciones en PEB, generan una desaceleración en la actividad económica y en el financiamiento. Finalmente, se encuentra evidencia de efectos no lineales en la respuesta de la actividad económica ante este choque.

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A loan-level analysis of financial resilience in Mexico

Cited by 11 publications

References 28 publications

Exploring the sources of loan default clustering using survival analysis with frailty

Exploring the sources of loan default clustering using survival analysis with frailty

Research on the impact of AI application on capital chain resilience

Financial Frictions in Mexico: Evidence from the Credit Spread and its Components

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