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Credit risk stress testing : an exercise for colombian banks
dc.creator | Cabrera-Rodríguez, Wilmar Alexander |
dc.creator | Gutiérrez-Rueda, Javier |
dc.creator | Mendoza-Gutiérrez, Juan Carlos |
dc.date.created | 2012-09-01 |
dc.date.issued | 2012-09 |
dc.identifier.uri | https://repositorio.banrep.gov.co/handle/20.500.12134/2135 |
dc.description.abstract | In this paper we seek to assess the ability of banks to withstand the effects of an increase in credit risk as a result of changes in the macroeconomic environment. To do so we estimate a credit risk model for each loan type as a function of four macroeconomic variables commonly used in the literature. Then, we forecast the dynamics of non-performing loans (NPL) and total loans in a stressed scenario in a time span of 8 quarters. Using these results, we quantify the effects of the macroeconomic shock on bank’s performance indicators, such as the NPL ratio, the return on assets, and the capital adequacy ratio. The results suggest that most Colombian banks are able to withstand a large shock to economic activity. We also perform a reverse stress testing to quantify how much NPL should increase in order to bring the earnings before taxes to zero. |
dc.format.extent | 20 páginas : ilustraciones, gráficas, tablas |
dc.format.mimetype | |
dc.language.iso | eng |
dc.publisher | Banco de la República de Colombia |
dc.relation.ispartof | Documentos de Trabajo |
dc.relation.ispartofseries | Temas de Estabilidad Financiera |
dc.relation.isversionof | Temas de Estabilidad Financiera ; No. 73 |
dc.rights.accessRights | Open Access |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/ |
dc.subject | Pruebas de estrés |
dc.subject | Créditos en mora |
dc.subject | Retorno de activos |
dc.subject | Coeficiente de solvencia |
dc.title | Credit risk stress testing : an exercise for colombian banks |
dc.type | Working Paper |
dc.subject.jel | C25 - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities |
dc.subject.jel | D22 - Firm Behavior: Empirical Analysis |
dc.subject.jel | G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages |
dc.subject.jel | G33 - Bankruptcy; Liquidation |
dc.audience | Policymakers |
dc.audience | Researchers |
dc.audience | Students |
dc.audience | Teachers |
dc.subject.keyword | VECX |
dc.subject.keyword | Stress testing |
dc.subject.keyword | Non-performing loans |
dc.subject.keyword | Return on assets |
dc.subject.keyword | Capital adequacy ratio |
dc.subject.lemb | Riesgo bancario -- Colombia |
dc.subject.lemb | Préstamos bancarios -- Colombia |
dc.subject.lemb | Riesgo crediticio -- Colombia |
dc.type.spa | Documentos de trabajo |
dc.rights.spa | Acceso abierto |
dc.rights.cc | Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 |
dc.subject.jelspa | C25 - Modelos de regresión discreta y elección cuantitativa; Regresores discretos; Proporciones; Probabilidad |
dc.subject.jelspa | D22 - Comportamiento de la empresa: análisis empíricos |
dc.subject.jelspa | G21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecas |
dc.subject.jelspa | G33 - Insolvencia; Liquidación |
dc.type.hasversion | Published Version |
dc.coverage.sucursal | Bogotá |
dc.source.bibliographicCitation | Breusch, T. (1978), ‘Testing for Autocorrelation in Dynamic Linear Models’, Australien Economic Papers (17), 334–355. |
dc.source.bibliographicCitation | Edgerton, D. & Shukur, G. (1999), ‘Testing Autocorrelation in a System Perspective’, Econometric Reviews (18), 343–386. |
dc.source.bibliographicCitation | Wong, J., Choi, K. & Fong, T. (2008), ‘A Framework for Stress Testing Banks’ Credit Risk’, The Journal of Risk Model Validation 2(1), 3–23. |
dc.relation.doi | https://doi.org/10.32468/tef.73 |
dc.rights.disclaimer | Las 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.repec | https://ideas.repec.org/p/bdr/temest/073.html |
dc.identifier.handle | https://hdl.handle.net/20.500.12134/2135 |
dc.source.handleRepec | RePEc:bdr:temest:073 |
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