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dc.creatorGamba-Santamaría, Santiago
dc.creatorJaulín-Méndez, Oscar Fernando
dc.creatorLizarazo-Cuellar, Angélica María
dc.creatorMendoza-Gutiérrez, Juan Carlos
dc.creatorMorales-Acevedo, Paola
dc.creatorOsorio-Rodríguez, Daniel Esteban
dc.creatorYanquen, Eduardo
dc.date.created2017-11-27
dc.date.issued2017-11-27
dc.identifier.urihttp://repositorio.banrep.gov.co/handle/20.500.12134/6341
dc.description.abstractThis paper presents the first version of SYSMO, the analytical framework employed by the Financial Stability Department at the Banco de la República (the Central Bank of Colombia) to perform its biannual, top-down, stress testing exercise. The framework comprises: (i) a module to produce internally consistent macroeconomic scenarios; (ii) a set of satellite risk models that capture the materialization of credit and market risks in times of stress, and (iii) a bank model that simulates the endogenous response of banks to an adverse scenario. The framework also incorporates endogenous contagion and funding risks, key regulatory constraints (solvency and liquidity), and the feedback effects between the endogenous response of banks and the macroeconomic scenario. The use of SYSMO is illustrated with the example of the stress testing exercise published in the Banco de la República’s Financial Stability Report of the second semester of 2017.
dc.format.extent35 páginas : gráficas, tablas
dc.format.mimetypePDF
dc.language.isoeng
dc.publisherBanco de la República de Colombia
dc.relation.ispartofDocumentos de trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 1028
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.subjectPruebas psicológicas
dc.subjectModelos VAR
dc.subjectRiesgo crediticio
dc.subjectContagio financiero
dc.subjectRiesgo financiero
dc.subjectModelos DSGE
dc.titleSYSMO I : a systemic stress model for the colombian financial system
dc.typeWorking Paper
dc.subject.jelG01 - Financial Crises
dc.subject.jelE58 - Central Banks and Their Policies
dc.subject.jelE44 - Financial Markets and the Macroeconomy
dc.subject.jelG20 - Financial Institutions and Services: General
dc.subject.jelG17 - Financial Forecasting and Simulation
dc.audiencePolicymakers
dc.audienceResearchers
dc.audienceStudents
dc.audienceTeachers
dc.subject.keywordStress testing
dc.subject.keywordDSGE models
dc.subject.keywordVAR models
dc.subject.keywordCredit risk
dc.subject.keywordMarket risk
dc.subject.keywordLiquidity risk
dc.subject.keywordFunding risk
dc.subject.keywordContagion risk
dc.subject.lembCrédito -- Métodos de simulación -- Colombia -- 2004-2018
dc.subject.lembRiesgo (Economía) -- Métodos de simulación -- Colombia -- 2004-2018
dc.subject.lembContagio financiero -- Métodos de simulación -- Colombia -- 2004-2018
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaG20 - Instituciones y servicios financieros: Generalidades
dc.subject.jelspaE44 - Mercados financieros y macroeconomía
dc.subject.jelspaE58 - Bancos centrales y sus políticas
dc.subject.jelspaG01 - Crisis financiera
dc.subject.jelspaG17 - Previsiones financieras y simulación
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.source.bibliographicCitationAcharya, V., Engle, R., and Pierret, D. (2014). Testing macroprudential stress tests: The risk of regulatory risk weights. Journal of Monetary Economics, 65(C):36-53.
dc.source.bibliographicCitationAmaya, C. (2005). Evaluacion del riesgo de credito en el sistema financiero colombiano. Temas de Estabilidad Financiera, (12).
dc.source.bibliographicCitationAnand, K., Bedard-Page, G., and Traclet, V. (2014). Stress testing the canadian banking system: A system-wide approach. Bank of Canada Financial System Review.
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/1028.html
dc.identifier.handlehttp://hdl.handle.net/20.500.12134/6341
dc.creator.firmaPaola Morales-Acevedo


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